The credit risk and pricing of OTC options
In the over-the-counter (OTC) markets, the options traded are always subject to credit risk. Therefore the counterparty's credit risk is a striking factor when pricing options, whereas it is not considered in the classic Black-Scholes models. Based on the first passage time models, this paper d...
| Hlavní autoři: | , |
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
2007
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