Valuation of European option with correlated credit risk and stochastic interest
Author:
Publisher
Springer Science and Business Media LLC
Subject
Electrical and Electronic Engineering,Hardware and Architecture,Condensed Matter Physics,Electronic, Optical and Magnetic Materials
Link
https://link.springer.com/content/pdf/10.1007/s00542-019-04457-5.pdf
Reference14 articles.
1. Ammann M (2001) Credit risk valuation: methods, models, and applications. Springer Finance 509:47–52
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3. Duffie D, Pan J, Singleton K (2000) Transform analysis and asset pricing for Affine Jump diffusions. Econometrica 68(6):1343–1376
4. Fouque JP, Papanicolaou G, Sircar KR (1999) Mean-reverting stochastic volatility. Int J Theor Appl Finance 3(1):101–142
5. Guo X, Jarrow RA, Zeng Y (2009) Modeling the recovery rate in a reduced form model. Math Finance 19(1):73–97
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