On pricing of credit spread options
Article Abstract:
Different pricing models for credit spreads are discussed and analyzed. The models discussed include Longstaff-Schwartz, Black, Das-Sundaram and Duan (GARCH-based) models.
Publisher: Elsevier B.V.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2005
Italy, Credit Management, Analysis, Credit market, Credit markets
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2005
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A pricing model for secondary market yield based floating rate notes subject to default risk
Article Abstract:
A pricing model is proposed for secondary market yield based floating rate notes subjected to default risk.
Publisher: Elsevier B.V.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2001
Operations Research, Management science
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2001
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Optimal pricing and lot-sizing under conditions of perishability, finite production and partial backordering and lost sale
Article Abstract:
Development of model for backlogging of demand for pricing and lot-sizing in business firms is discussed.
Publisher: Elsevier B.V.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2003
Canada, Scheduling (Management), Logistics, Business logistics
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2003
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Subjects list: Methods, Pricing, Product price, Models
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