在HJM框架内使用Cox过程建模信用利差的演化:一个CDS期权定价模型
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model
European Journal of Operational Research · 2010
被引 23
ABS 4
- Carl Chiarella
- Viviana Fanelli 通讯
- Silvana Musti
信用风险金融衍生品定价随机过程计量经济学