A Markov chain model for valuing credit risk derivatives
Masaaki Kijima and Katsuya Komoribayashi
| Year of publication: |
1998
|
|---|---|
| Authors: | Kijima, Masaaki |
| Other Persons: | Komoribayashi, Katsuya (contributor) |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 6.1998, 1, p. 97-108
|
| Subject: | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Markov-Kette | Markov chain | Theorie | Theory |
| Extent: | Graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001248808