A multifactor bottom-up model for pricing credit derivatives
نویسندگان
چکیده
منابع مشابه
Pricing Credit Risk Derivatives
In this paper the pricing of several credit risk derivatives is discussed in an intensity-based framework with both risk-free and defaultable interest rates stochastic and possibly correlated. Credit spread puts and exchange options serve as main examples. The differences to standard interest rate derivatives are analysed. Where possible closed-form solutions are given.
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2013
ISSN: 1460-1559
DOI: 10.21314/jcf.2013.266