A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives /

This paper develops a model for the pricing of credit derivatives using observables. The model (i) is arbitrage-free, (ii) accommodates path-dependence, and (iii) handles a range of securities, even with American features. The computer implementation uses a recursive scheme that is convenient and...

Ausführliche Beschreibung

1. Verfasser:

Das, Sanjiv R.

Körperschaft:

National Bureau of Economic Research

Weitere Verfasser:

Sundaram, Rangarajan K.

Format:

Elektronisch E-Book

Sprache:

Englisch

Veröffentlicht:

Cambridge, Mass. National Bureau of Economic Research 1998.
Cambridge, Massachusetts : National Bureau of Economic Research, 1998.

Zusammenfassung:

This paper develops a model for the pricing of credit derivatives using observables. The model (i) is arbitrage-free, (ii) accommodates path-dependence, and (iii) handles a range of securities, even with American features. The computer implementation uses a recursive scheme that is convenient and seamlessly processes forward induction and backward recursion, needed to compute more complicated derivative securities.

Umfang:

1 online resource: illustrations (black and white);

Anmerkungen:

July 1998.

Schlagworte:

Derivative securities > Econometric models.