On pricing of credit spread options

DOI10.1016/J.EJOR.2003.12.005zbMath1066.91075OpenAlexW2046276936MaRDI QIDQ704058

Rosella Giacometti, Mariangela Teocchi

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2003.12.005

zbMATH Keywords

FinanceStochastic processesSimulationMean reversionCredit spread options

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (3)

Arithmetic Brownian motion and real options ⋮ Valuing the flexibility of investing in security process innovations ⋮ Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market

Cites Work

• The pricing of credit risk derivatives
• Generalized autoregressive conditional heteroscedasticity
• THE GARCH OPTION PRICING MODEL

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