Pricing and hedging of rating-sensitive claims modeled by F-doubly stochastic Markov chains
Jacek Jakubowski and Mariusz Niewęgłowski
| Year of publication: |
2011
|
|---|---|
| Authors: | Jakubowski, Jacek ; Niewęgłowski, Mariusz |
| Published in: |
Advanced mathematical methods for finance. - Heidelberg [u.a.] : Springer, ISBN 3-642-18411-1. - 2011, p. 417-453
|
| Subject: | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Hedging | Kreditwürdigkeit | Credit rating | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008991278