Blar i Discussion papers (FOR) på emneord "barrier options"
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Continuous monitoring : look before you leap
(Discussion paper, Working paper, 2008-03)We present a model for pricing credit risk protection for a limited liability non-life insurance company. The protection is typically provided by a guaranty fund. In the case of continuous monitoring, i.e., where the market ... -
A model of deferred callability in defautable debt
(Discussion paper, Working paper, 2009-05)