Probability for transition of business cycle and pricing of options with correlated credit risk

DOI10.15672/HJMS.2018499356zbMath1348.91270OpenAlexW2563798553MaRDI QIDQ2818418

Geonwoo Kim

Publication date: 7 September 2016

Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15672/hjms.2018499356

zbMATH Keywords

option pricingoccupation timebusiness cyclecredit risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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