Present value of firm in case of correlated defaults
In this article, the valuation of firm’s present value in case of correlated defaults is studied. We showed that the valuation of portfolio credit risk can be interpreted as a valuation of the multiple contingent option. In this article, some results for valuation of multiple contingent options are...
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| 第一著者: | |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
Vilnius University Press
2023-09-01
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| シリーズ: | Lietuvos Matematikos Rinkinys |
| 主題: | |
| オンライン･アクセス: | https://test.zurnalai.vu.lt/LMR/article/view/30731 |
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