Valuing credit default swap under a double exponential jump diffusion model (Q462273): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 91G40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J75
@@ Property / Mathematics Subject Classification ID: 60J75 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6365073
@@ Property / zbMATH DE Number: 6365073 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+credit default swap
@@ Property / zbMATH Keywords: credit default swap / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Brownian motion
@@ Property / zbMATH Keywords: Brownian motion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+double exponential jump-diffusion model
@@ Property / zbMATH Keywords: double exponential jump-diffusion model / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11766-014-3074-9
+Normal rank
@@ Property / OpenAlex ID @@
+W2050950632
@@ Property / OpenAlex ID: W2050950632 / rank @@
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing credit derivatives in a jump-diffusion model
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:462273