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Credit risk in the pricing and hedging of derivatives

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  • Frédéric Abergel

    (MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec)

Abstract

Credit risk - more specifically, default risk - is introduced in various classical models for option pricing. The consequences of this new parameter in terms of model calibration is studied.

Suggested Citation

  • Frédéric Abergel, 2008. "Credit risk in the pricing and hedging of derivatives," Post-Print hal-00620847, HAL.
    • Handle: RePEc:hal:journl:hal-00620847
    Note: View the original document on HAL open archive server: https://hal.science/hal-00620847
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