FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS (Q5010075)
From MaRDI portal
scientific article; zbMATH DE number 7384603
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS |
scientific article; zbMATH DE number 7384603 |
Statements
FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS (English)
0 references
24 August 2021
0 references
successive default times
0 references
first-to-default and second-to-default options
0 references
geometric Brownian motion
0 references
initial and progressive enlargements of filtrations
0 references
0 references
0 references
