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Search: subject:"defaultable term-structure model"
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Credit default options
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defaultable term-structure model
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Antes, Stefan
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El Moufatich, Fayssal
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Schmid, Bernd
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Journal of Financial Transformation
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Modeling and pricing of credit derivatives using macroeconomic information
Schmid, Bernd
;
Zagst, Rudi
;
Antes, Stefan
;
El …
- In:
Journal of Financial Transformation
26
(
2009
),
pp. 60-68
We show how to price credit default options and swaps based on a four-factor
defaultable
term-structure
model
. One of …
Persistent link: https://www.econbiz.de/10008459954
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