A general first-passage-time model for multivariate credit spreads and a note on barrier option pricing - Kammer, Stefanie; Justus Liebig University Giessen (Universitätsbibliothek Gießen, 2007)
Keywords: Erstaustrittszeit; multivariat; Credit Spread; Credit Spread Dynamik; Barrier Option; first-passage-time model; multivariate; credit spread; credit spread dynamic; barrier option; ddc:510