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Beyong Basel-2 simplified standardized approach : credit risk valuation of short-term loan commitments
Chateau, Jean-Pierre D. - In: International review of financial analysis 16 (2007) 5, pp. 412-433
Persistent link: https://www.econbiz.de/10003612960
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Valuing European put options under skewness and increasing [excess] kurtosis
Chateau, Jean-Pierre D. - In: Journal of mathematical finance 4 (2014) 3, pp. 160-177
Persistent link: https://www.econbiz.de/10010400109
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The stochastic-volatility American put option of banks' credit line commitments : valuation and policy implications
Chateau, Jean-Pierre D.; Dufresne, D. - In: International review of financial analysis 11 (2002) 2, pp. 159-181
Persistent link: https://www.econbiz.de/10001715955
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Pricing the stochastic volatility put option of banks' credit line commitments
Chateau, Jean-Pierre D.; Dufresne, Daniel - 1998
Persistent link: https://www.econbiz.de/10000998682