The stochastic-volatility American put option of banks' credit line commitments : valuation and policy implications
Year of publication: |
2002
|
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Authors: | Chateau, Jean-Pierre D. ; Dufresne, D. |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 11.2002, 2, p. 159-181
|
Subject: | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Basler Akkord | Basel Accord |
Extent: | graph. Darst |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | In: International review of financial analysis |
Source: | ECONIS - Online Catalogue of the ZBW |
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