A Unified Framework For Pricing Credit And Equity Derivatives
dc.contributor.author | Bayraktar, Erhan | |
dc.contributor.author | Yang, Bo | |
dc.date.accessioned | 2017-04-13T20:35:57Z | |
dc.date.available | 2017-04-13T20:35:57Z | |
dc.date.issued | 2011-07 | |
dc.identifier.citation | Bayraktar, Erhan; Yang, Bo (2011). "A Unified Framework For Pricing Credit And Equity Derivatives." Mathematical Finance 21(3). | |
dc.identifier.issn | 0960-1627 | |
dc.identifier.issn | 1467-9965 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/136331 | |
dc.publisher | Blackwell Publishing Inc | |
dc.publisher | Wiley Periodicals, Inc. | |
dc.subject.other | stochastic interest rate | |
dc.subject.other | multiscale perturbation method | |
dc.subject.other | implied volatility | |
dc.subject.other | equity options | |
dc.subject.other | defaultable stock | |
dc.subject.other | defaultable bond | |
dc.title | A Unified Framework For Pricing Credit And Equity Derivatives | |
dc.type | Article | en_US |
dc.rights.robots | IndexNoFollow | |
dc.subject.hlbsecondlevel | Finance | |
dc.subject.hlbsecondlevel | Mathematics | |
dc.subject.hlbtoplevel | Science | |
dc.subject.hlbtoplevel | Business and Economics | |
dc.description.peerreviewed | Peer Reviewed | |
dc.contributor.affiliationum | University of Michigan | |
dc.contributor.affiliationother | Morgan Stanley | |
dc.description.bitstreamurl | https://deepblue.lib.umich.edu/bitstream/2027.42/136331/1/j.1467-9965.2010.00435.x.pdf | |
dc.identifier.doi | 10.1111/j.1467-9965.2010.00435.x | |
dc.identifier.source | Mathematical Finance | |
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dc.identifier.citedreference | Fouque, J. P., G. Papanicolaou, R. Sircar, and K. Solna ( 2003 ): Multiscale Stochastic Volatility Asymptotics, SIAM J. Multiscale Model. Simul. 2 ( 1 ), 22 – 42. | |
dc.identifier.citedreference | Fouque, J.‐P., G. Papanicolaou, and K. R. Sircar ( 2000 ): Derivatives in Financial Markets with Stochastic Volatility, New York: Cambridge University Press. | |
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dc.owningcollname | Interdisciplinary and Peer-Reviewed |
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