Hybrid Derivatives Pricing under the Potential Approach∗
نویسنده
چکیده
We present a general framework to price contingent claims whose payoffs involve equity, credit and interest rate components. The common cross-market dynamics are modeled via a Markov-chain ξ. The model is dynamically consistent and allows for a high degree of flexibility. Prices of various vanilla and more complex derivative products can be derived analytically or resorting to integral transform techniques.
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تاریخ انتشار 2006