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. - Springer. - Vol. 9.2006, 2, p. 137-165
|
Publisher: |
Springer |
Subject: | American options | Derivatives | Default | Credit risk | Multi-exercisable | Martingale |
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