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AN EXACT FORMULA FOR DEFAULT SWAPTIONS' PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
| File | Description | Size | Format | |
|---|---|---|---|---|
 Mathematical Finance_20_3_2010.pdf | Accepted version | 337.67 kB | Adobe PDF | View/Open |
| Title: | AN EXACT FORMULA FOR DEFAULT SWAPTIONS' PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL |
| Authors: | Brigo, D El-Bachir, N |
| Item Type: | Journal Article |
| Issue Date: | 1-Jul-2010 |
| URI: | http://hdl.handle.net/10044/1/18326 |
| DOI: | http://dx.doi.org/10.1111/j.1467-9965.2010.00401.x |
| ISSN: | 0960-1627 |
| Publisher: | WILEY-BLACKWELL |
| Start Page: | 365 |
| End Page: | 382 |
| Journal / Book Title: | MATHEMATICAL FINANCE |
| Volume: | 20 |
| Issue: | 3 |
| Copyright Statement: | © Copyright the Authors. Journal Compilation © 2010 Wiley Periodicals, Inc. This is the peer reviewed version of the following article: Brigo, D. and El-Bachir, N. (2010), AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL. Mathematical Finance, 20: 365–382, which has been published in final form at http://dx.doi.org/10.1111/j.1467-9965.2010.00401.x. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving. |
| Publication Status: | Published |
| Appears in Collections: | Financial Mathematics |