The valuation and behavior of Black-Scholes options subject to intertemporal default risk
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Publication:375238
DOI10.1007/BF01536394zbMath1274.91440OpenAlexW3125222357MaRDI QIDQ375238
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01536394
optionsforwardshedgingderivativesrisk managementdefault riskcreditworthinessdefault premiummargin requirements
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