DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK-Reference-Cited by-同舟云学术

DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK

Published:2008-10 Issue:4 Volume:18 Page:493-518
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Bielecki Tomasz R.,Crépey Stéphane,Jeanblanc Monique,Rutkowski Marek

Publisher

Wiley

Subject

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

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2008.00345.x/fullpdf

Reference24 articles.

1. Calibration and Implementation of Convertible Bond Models;Andersen;J. Comput. Finance,2004

2. Valuation of Convertible Bonds with Credit Risk;Ayache;J. Derivatives,2003

3. Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds;Bielecki;Quantit. Finance

4. Bielecki, T. R. , S. Crépey , M. Jeanblanc , and M. Rutkowski (2006a): Valuation and Hedging of Defaultable Game Options in a Hazard Process Model (Submitted).

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