Defaultable game options in a hazard process model.
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
Journal of Applied Mathematics and Stochastic Analysis (2009)
- Volume: 2009, page Article ID 695798, 33 p.-Article ID 695798, 33 p.
- ISSN: 2090-3332
Access Full Article
top
How to cite
topBielecki, Tomasz R., et al. "Defaultable game options in a hazard process model.." Journal of Applied Mathematics and Stochastic Analysis 2009 (2009): Article ID 695798, 33 p.-Article ID 695798, 33 p.. <http://eudml.org/doc/225981>.
@article{Bielecki2009,
author = {Bielecki, Tomasz R., Crépey, Stéphane, Jeanblanc, Monique, Rutkowski, Marek},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {credit risk; hazard models; game options; stochastic analysis},
language = {eng},
pages = {Article ID 695798, 33 p.-Article ID 695798, 33 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {Defaultable game options in a hazard process model.},
url = {http://eudml.org/doc/225981},
volume = {2009},
year = {2009},
}
TY - JOUR
AU - Bielecki, Tomasz R.
AU - Crépey, Stéphane
AU - Jeanblanc, Monique
AU - Rutkowski, Marek
TI - Defaultable game options in a hazard process model.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2009
PB - Hindawi Publishing Corporation, New York
VL - 2009
SP - Article ID 695798, 33 p.
EP - Article ID 695798, 33 p.
LA - eng
KW - credit risk; hazard models; game options; stochastic analysis
UR - http://eudml.org/doc/225981
ER -
NotesEmbed ?
topYou must be logged in to post comments.
To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.