On Break-Even Correlation : The Way to Price Structured Credit Derivatives by Replication
Year of publication: |
2010
|
---|---|
Authors: | Vigneron, Olivier |
Other Persons: | Fermanian, Jean-David (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Derivat | Derivative | Korrelation | Correlation | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (71 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 22, 2009 erstellt |
Other identifiers: | 10.2139/ssrn.1423872 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
CDO Tranche Analytic Pricing with Subordinator Levy Marshall-Olkin Correlation
Giovannitti, Stefano, (2016)
-
Pricing of Derivatives with Stochastically Correlated Underlyings
Büchler, Matthias, (2014)
-
Numpacharoen, Kawee, (2012)
- More ...
-
On break-even correlation: the way to price structured credit derivatives by replication
Fermanian, Jean-David, (2012)
-
Fermanian, Jean-David, (2010)
-
Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market
Vigneron, Olivier, (2004)
- More ...