Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads
| Year of publication: |
2011
|
|---|---|
| Authors: | Muroi, Yoshifumi ; Takino, E. |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 18.2011, 4, p. 345-372
|
| Publisher: |
Springer |
| Subject: | Credit risk | Credit migration model | Defaultable bonds | Credit default swaps | Options on defaultable bonds |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009327792