AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL

Published:2010-06-07 Issue:3 Volume:20 Page:365-382
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Brigo Damiano,El-Bachir Naoufel

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2010.00401.x/fullpdf

Reference22 articles.

1. A Dynamic Programming Approach for Pricing CDS and CDS Options;Ben-Ameur;Quantit. Finance,2010

2. The Pricing of Commodity Contracts;Black;J. Finan. Econ.,1976

3. Brigo , D. A. Alfonsi 2003 Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model http://www.damianobrigo.it/cirppcredit.pdf

Cited by 44 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Pricing airbag option via first passage time approach;Quantitative Finance;2024-07-02

2. Kreditrisiko;Bewertung von Finanzderivaten mit Python;2023

3. Affine term structure models: A time‐change approach with perfect fit to market curves;Mathematical Finance;2022-01-06

4. A general firm value model under partial information;Journal of Computational Finance;2022

5. Linear credit risk models;Finance and Stochastics;2019-10-04

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP