The stochastic-volatility American put option of banks' credit line commitments: Valuation and policy implications

International Review of Financial Analysis

Volumn 11, Issue 2, 2002, Pages 159-181

  Chateau, J P ^a,b   Dufresne, D ^b  

^a NEOMA BUSINESS SCHOOL   (France)

^b UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Commitment net value and banks' exposure to commitment credit risk; Stochastic volatility American commitment put option

Indexed keywords

EID: 0036313483     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(02)00073-X     Document Type: Article

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