Closed-form interpolation-based formulas for European call options written on defaultable assets
Greg Orosi
| Year of publication: |
July 2015
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|---|---|
| Authors: | Orosi, Greg |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 16.2015, 4, p. 236-242
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| Subject: | call option pricing | European call option | closed-form formula | default | probability of default | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Kreditrisiko | Credit risk | Insolvenz | Insolvency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/jam.2015.1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011413347