Defaultable Options In A Markovian Intensity Model Of Credit Risk
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 18 (2008)
Issue (Month): 4 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
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- Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.
- Agostino Capponi & Jose Figueroa-Lopez & Jeffrey Nisen, 2011. "Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets," Papers 1110.0403, arXiv.org, revised Feb 2012.
- Rafael Mendoza-Arriaga & Vadim Linetsky, 2014. "Time-changed CIR default intensities with two-sided mean-reverting jumps," Papers 1403.5402, arXiv.org.
- Damiano Brigo & Andrea Pallavicini, 2014. "CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach," Papers 1401.3994, arXiv.org.
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