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On the Pricing of Credit Spread Options: A Two Factor HW–BK Algorithm - MaRDI portal

On the Pricing of Credit Spread Options: A Two Factor HW–BK Algorithm

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Publication:5696864

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DOI10.1142/S0219024903002031zbMath1079.91028OpenAlexW2002428234MaRDI QIDQ5696864

J. B. Garcia, Reinaldo Garcia, Helmut van Ginderen

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024903002031

zbMATH Keywords

credit risk implementation credit derivatives Hull-White model Black-Karazinsky model credit spreald options

Mathematics Subject Classification ID

Cites Work

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