A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives

This paper develops a model for the pricing of credit derivatives using observables. The model (i) is arbitrage-free, (ii) accommodates path-dependence, and (iii) handles a range of securities, even with American features. The computer implementation uses a recursive scheme that is convenient and seamlessly processes forward induction and backward recursion, needed to compute more complicated derivative securities

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Year of publication:	[2010]
Authors:	Das, Sanjiv Ranjan
Other Persons:	Sundaram, Rangarajan K. (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Derivat \| Derivative \| Optionspreistheorie \| Option pricing theory \| CAPM \| Arbitrage Pricing \| Arbitrage pricing \| Kreditrisiko \| Credit risk

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Extent:	1 Online-Ressource (16 p)
Series:	NBER Working Paper ; No. w6635
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1998 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012763833