An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. (Q2315470): Difference between revisions

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-Wen-Ting Chen
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+Wen-Ting Chen
@@ Property / author: Wen-Ting Chen / rank @@
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+MaRDI publication profile
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+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+MEAN-REVERTING STOCHASTIC VOLATILITY
@@ Property / cites work: MEAN-REVERTING STOCHASTIC VOLATILITY / rank @@
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@@ Property / cites work @@
+Singular Perturbations in Option Pricing
@@ Property / cites work: Singular Perturbations in Option Pricing / rank @@
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+The pricing of credit default swaps under a generalized mixed fractional Brownian motion
+Normal rank
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+A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
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+Stochastic calculus for finance. II: Continuous-time models.
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+Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
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@@ Property / Wikidata QID @@
+Q128083431
@@ Property / Wikidata QID: Q128083431 / rank @@
+Normal rank