Pricing equations in jump-to-default models
Hannah Dyrssen, Erik Ekström and Johan Tysk
| Year of publication: |
2014
|
|---|---|
| Authors: | Dyrssen, Hannah ; Ekström, Erik ; Tysk, Johan |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 3, p. 1-13
|
| Subject: | Jump-to-default model | credit risk | martingales | the Black-Scholes equation | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010364757