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Option pricing in affine generalized Merton models
Bayer, Christian
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Schoenmakers, John
- In:
Advanced modelling in mathematical finance : in honour …
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(pp. 219-239)
.
2016
Persistent link: https://www.econbiz.de/10011800363
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Numerically stable computation of CreditRisk+
Haaf, Hermann
;
Reiß, Oliver
;
Schoenmakers, John
- In:
CreditRisk+ in the banking industry
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(pp. 69-77)
.
2004
Persistent link: https://www.econbiz.de/10002108694
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