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

How to cite

top

Bielecki, 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 ?

top

You 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.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.