A Note on Lando’s Formula and Conditional Independence∗

نویسندگان

  • Xin Guo
  • Robert A. Jarrow
  • Christian Menn
چکیده

We extend Lando’s formula for pricing credit risky derivatives to models where a firm’s characteristics and its default point process need not be conditionally independent. This result is presented under a simple filtration expansion framework with basic probability techniques.

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تاریخ انتشار 2007