The pricing of credit risk derivatives

DOI10.1016/S0165-1889(97)00049-3zbMath0897.90013OpenAlexW2088415914MaRDI QIDQ1391255

Yiannos A. Pierides

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(97)00049-3

zbMATH Keywords

numerical methodsbarrier optionscredit risk derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Related Items (3)

A boundary crossing model of counterparty risk ⋮ On pricing of credit spread options ⋮ Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market

Cites Work

• Pricing the risks of default
• Unnamed Item

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