Hedging of a credit default swaption in the CIR default intensity model
Tomasz R. Bielecki; Monique Jeanblanc; Marek Rutkowski
| Year of publication: |
2011
|
|---|---|
| Authors: | Bielecki, Tomasz R. ; Jeanblanc, Monique ; Rutkowski, Marek |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 15.2011, 3, p. 541-572
|
| Subject: | Kreditderivat | Credit derivative | Hedging | Kapitalmarkttheorie | Financial economics |
| 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/10009303111