A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL
Year of publication: |
2012
|
---|---|
Authors: | ALFONSI, AURÉLIEN ; LELONG, JÉRÔME |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 08, p. 1250053-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Credit risk | intensity model | structural model | Black-Cox model | hybrid model | Parisian options | ParAsian options |
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