Defaultable Options In A Markovian Intensity Model Of Credit Risk
Work
Year: 2008
Type: article
Abstract: This paper is a follow‐up to “Valuation and Hedging of Defaultable Game Options in a Hazard Process Model” by the same authors. In the present paper we give user friendly assumptions ensuring that the... more
Source: Mathematical Finance
Institutions Illinois Institute of Technology, Université d'Évry Val-d'Essonne, Warsaw University of Technology, UNSW Sydney
Cites: 31
Cited by: 44
Related to: 10
FWCI: 3.436
Citation percentile (by year/subfield): 91.36
Subfield: Finance
Domain: Social Sciences
Open Access status: green