Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option (Q2353849)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option |
scientific article |
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Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option (English)
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9 July 2015
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credit spreads
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efficient market hypothesis
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foreign currency government bonds
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implied default probabilities
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term structure of interest rate
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