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zbMath1150.91357MaRDI QIDQ3516646

Deng Ding, Kaleong Chan

Publication date: 6 August 2008

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

equivalent martingale measure credit risk Girsanov's theorem martingale representation forward martingale measure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

The martingale approach for vulnerable binary option pricing under stochastic interest rate

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