The stochastic-volatility american put option of banks'credit line commitments: valuation and policy implications

D. Dufresne and Jean-Pierre Chateau
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Jean-Pierre Chateau: Pôle de Recherche - Rouen Business School - Rouen Business School

Working Papers from HAL

Keywords: stochastic-volatility American commitment put option; commitment net value and banks'exposure to commitment credit risk (search for similar items in EconPapers)
Date: 2000
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Published in 2000

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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00605722

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