On pricing of credit spread options

descriptionPublicationkeyboard_double_arrow_right Article 01 May 2005 Italy English Publisher:Elsevier BVJournal:European Journal of Operational Research, volume 163, pages 52-64 (issn: 0377-2217,

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Authors: GIACOMETTI, Rosella; Teocchi, Mariangela;

doi: 10.1016/j.ejor.2003.12.005

handle: 10446/98113

On pricing of credit spread options

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Abstract

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Country

Italy

Related Organizations

University of Bergamo
Italy

Keywords

Mean reversion, Credit spread options, Stochastic processes, Stochastic models in economics, Finance; Credit spread options; Stochastic processes; Mean reversion; Simulation, Finance etc., Finance, Simulation

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