haku: @indexterm arbitrage pricing theory / yhteensä: 66
viite: 6 / 66
| Tekijä: | Das, S.R. Sundaram, R.K. |
| Otsikko: | A discrete-time approach to arbitrage-free pricing of credit derivatives |
| Lehti: | Management Science
2000 : JAN, VOL. 46:1, p. 46-62 |
| Asiasana: | Arbitrage pricing theory Credit Models |
| Kieli: | eng |
| Tiivistelmä: | This paper developes a framework for modelling risky debt and valuing credit derivatives that is flexible and simple to implement, and that is, to the maximum extent possible, based on observables. |
SCIMA