BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives

DOI10.21314/JCF.2008.179zbMath1175.91172arXiv0901.3398OpenAlexW3121623715MaRDI QIDQ3622841

Igor Halperin, Matthias Arnsdorf

Publication date: 28 April 2009

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.3398

zbMATH Keywords

option pricingbivariate spread-loss portfolio modelBSLP modelstochastic intensity BSLP model

Mathematics Subject Classification ID

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

Related Items (14)

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