Valuation of vulnerable American options with correlated credit risk
Year of publication: |
2006
|
---|---|
Authors: | Chang, Lung-fu ; Hung, Mao-Wei |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 9.2006, 2, p. 137-165
|
Subject: | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Optionsgeschäft | Option trading | Martingal | Martingale | Theorie | Theory |
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