Credit valuation adjustment of cap and floor with...

Review of Derivatives Research 2016 / 4 Vol. 19; Iss. 1

Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options

Kao, Lie-Jane
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Volume:
19
Language:
english
Journal:
Review of Derivatives Research
DOI:
10.1007/s11147-015-9114-7
Date:
April, 2016
File:
PDF, 1.48 MB
english, 2016
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