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On pricing of credit spread options - MaRDI portal

On pricing of credit spread options (Q704058)

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scientific article; zbMATH DE number 2127022
Language Label Description Also known as
English
On pricing of credit spread options
scientific article; zbMATH DE number 2127022

    Statements

    title
    On pricing of credit spread options (English)
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    author
    Rosella Giacometti
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    Mariangela Teocchi
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    publication date
    12 January 2005
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    zbMATH Keywords
    Finance
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    Credit spread options
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    Stochastic processes
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    Mean reversion
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    Simulation
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    Identifiers

    zbMATH DE Number
    2127022
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    OpenAlex ID
    W2046276936
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