A Discrete-Time Approach to ArbitrageFree Pricing of Credit Derivatives

Management Science

Volumn 46, Issue 1, 2000, Pages 46-62

  Das, Sanjiv Ranjan ^a   Sundaram, Rangarajan K ^b  

^a HARVARD BUSINESS SCHOOL   (United States)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; INDUSTRIAL ECONOMICS; INDUSTRIAL MANAGEMENT; MATHEMATICAL MODELS; OPTIMIZATION; PROBABILITY;

CREDIT DERIVATIVES; CREDIT RISK; DEFAULTABLE DEBT; NO ARBITAGE;

FINANCE;

EID: 0033903342     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.46.1.46.15124     Document Type: Article

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