Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads
Year of publication: |
2011
|
---|---|
Authors: | Muroi, Yoshifumi ; Takino, E. |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 18.2011, 4, p. 345-372
|
Publisher: |
Springer |
Subject: | Credit risk | Credit migration model | Defaultable bonds | Credit default swaps | Options on defaultable bonds |
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