A mixed PDE-Monte Carlo approcha for pricing credit default index swaptions
Vlad Bally; Lucia Caramellino; Antonino Zanette
| Year of publication: |
2006
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|---|---|
| Authors: | Bally, Vlad ; Caramellino, Lucia ; Zanette, Antonino |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 29.2006, 2, p. 121-137
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| Subject: | Kreditderivat | Credit derivative | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation |
| 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/10003835675