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Pricing and hedging of contingent credit lines
Loukoianova, Elena
;
Neftci, Salih N.
;
Sharma, Sunil
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2006
Persistent link: https://www.econbiz.de/10003292875
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Monitoring and commitment in bank lending behavior
Blavy, Rodolphe
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2005
Persistent link: https://www.econbiz.de/10003268851
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Pricing and Hedging of Contingent Credit Lines.
Neftci, Salih N
-
2006
Intro -- Contents -- I. Introduction -- II. Market Practice -- III. Modeling a CCL -- IV. Replicating Portfolio -- V. Pricing -- A. Method 1 -- B. Method 2 -- VI. Hedging Issues -- VII. Concluding Remarks -- References.
Persistent link: https://www.econbiz.de/10012691053
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