Effects of market default risk on index option risk-neutral moments
نویسندگان
چکیده
منابع مشابه
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Default risk in a market model
This paper presents a theoretical model of default risk in the context of the ``market'' model approach to interest rate dynamics. We propose a model for ®nite-interval interest rates (such as LIBOR) which explicitly takes into account the possibility of default through the in ̄uence of a point process with deterministic intensity. We relate the defaultable interest rate to the non-defaultable i...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2015
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2014.1000367