Option pricing in a hidden Markov model of the short rate...

International Journal of Risk Assessment and Management 2009 Vol. 11; Iss. 1/2

Option pricing in a hidden Markov model of the short rate with application to risky debt evaluation

Ramponi, Alessandro, Scarlatti, Sergio
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Volume:
11
Year:
2009
Language:
english
Journal:
International Journal of Risk Assessment and Management
DOI:
10.1504/ijram.2009.022199
File:
PDF, 529 KB
english, 2009
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