A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
收藏NBER1998-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w6635
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资源简介：
This paper develops a model for the pricing of credit derivatives using observables. The model (i) is arbitrage-free, (ii) accommodates path-dependence, and (iii) handles a range of securities, even with American features. The computer implementation uses a recursive scheme that is convenient and
提供机构：
美国国家经济研究局
创建时间：
1998-07-01
