Title: Benchmark Pricing of Credit Derivatives Under a Standard Market Model
Abstract: This paper makes use of an integrated benchmark modelling framework that allows us to model credit risk. We demonstrate how to price contingent claims by taking expectations under the real world probability measure in a benchmarked world. Furthermore, put and call options on an index are studied that measure the credit worthiness of a firm.
Publication Year: 2001
Publication Date: 2001-06-01
Language: en
Type: preprint
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Cited By Count: 1
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