A Gaussian term structure model of credit spreads and valuation of credit spread options
Year of publication: |
2001
|
---|---|
Authors: | Kijima, Masaaki |
Published in: |
Kyoto University economic review : memoirs of the Graduate School of Economics, Kyoto University. - Kyoto : School, ISSN 0023-6055, ZDB-ID 209884-2. - Vol. 70.2001, 1/2, p. [13]-30
|
Subject: | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Optionsgeschäft | Option trading | Theorie | Theory |
-
Vulnerable options, risky corporate bond, and credit spread
Cao, Melanie, (2001)
-
Taylor, Mark P., (2011)
-
Call feature and corporate bond yield spreads
Samet, Anis, (2014)
- More ...
-
Discussion of “Virtual age, is it real?”
Kijima, Masaaki, (2020)
-
A consumption-investment problem with production possibilities
Kabanov, Jurij M., (2006)
-
Kijima, Masaaki, (2009)
- More ...