Pricing Credit Derivatives with a Structural Default Model

DOI10.1142/9789814602075_0005zbMath1325.91056OpenAlexW2488505043MaRDI QIDQ3195063

Ying Zhu, Sebastien Hitier

Publication date: 21 October 2015

Published in: Arbitrage, Credit and Informational Risks (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814602075_0005

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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