Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk with a Tractable Structural Model
Year of publication: |
[2005]
|
---|---|
Authors: | Brigo, Damiano |
Other Persons: | Tarenghi, Marco (contributor) |
Publisher: |
[2005]: [S.l.] : SSRN |
Extent: | 1 Online-Ressource (36 p) |
---|---|
Type of publication: | Book / Working Paper |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 24, 2004 erstellt |
Other identifiers: | 10.2139/ssrn.581302 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Benzoni, Luca, (2011)
-
Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca, (2010)
-
Over-allotment options in IPOs on Germany's Neuer Markt: An empirical investigation
Franzke, Stefanie A., (2002)
- More ...
-
Credit Calibration with Structural Models : The Lehman Case and Equity Swaps Under Counterparty Risk
Brigo, Damiano, (2010)
-
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Brigo, Damiano, (2009)
-
Brigo, Damiano, (2009)
- More ...