Credit Spread Specification and the Pricing of Spread Options
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References listed on IDEAS
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Longstaff, Francis A., 1990. "The valuation of options on yields," Journal of Financial Economics, Elsevier, vol. 26(1), pages 97-121, July.
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More about this item
KeywordsCredit spread; Option valuation; Change of probability measure;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-02-12 (All new papers)
- NEP-CFN-2006-02-12 (Corporate Finance)
- NEP-FIN-2006-02-12 (Finance)
- NEP-FMK-2006-02-12 (Financial Markets)
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