| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6635 |
| 来源ID | Working Paper 6635 |
| A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives | |
| Sanjiv R. Das; Rangarajan K. Sundaram | |
| 发表日期 | 1998-07-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | 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. |
| URL | https://www.nber.org/papers/w6635 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564147 |
| 推荐引用方式 GB/T 7714 | Sanjiv R. Das,Rangarajan K. Sundaram. A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6635.pdf（717KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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