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~subject:"Optionspreistheorie"
~person:"Musti, Silvana"
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Optionspreistheorie
Analysis
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Credit derivative
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Euler-Maruyama stochastic integral approximation
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HJM (Heath-Jarrow-Morton) model
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Kreditderivat
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Musti, Silvana
Chiarella, Carl
11
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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European journal of operational research : EJOR
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
Saved in:
2
Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
Saved in:
3
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
- In:
European journal of operational research : EJOR
208
(
2011
)
2
,
pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
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