Pricing credit default swaps under a multi-scale stochastic volatility model (Q1620315): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2548433327
@@ Property / OpenAlex ID: W2548433327 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q4218398
@@ Property / cites work: Q4218398 / rank @@
+Normal rank
@@ Property / cites work @@
+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
+Normal rank
@@ Property / cites work @@
+The pricing of credit default swaps under a generalized mixed fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing perpetual American puts under multi-scale stochastic volatility
+Normal rank
@@ Property / cites work @@
+Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
+Normal rank