Pricing credit default swaps with Parisian and Par<i>asian</i> default mechanics (Q5082824): Difference between revisions
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1080/03610918.2019.1653913 / rank | |||
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| Property / OpenAlex ID: W2969911824 / rank | |||
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| Property / cites work: Pricing credit default swaps under a multi-scale stochastic volatility model / rank | |||
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| Property / cites work: The pricing of credit default swaps under a generalized mixed fractional Brownian motion / rank | |||
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| Property / cites work: Pricing the risks of default / rank | |||
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| Property / cites work: Pricing Parisian and Parasian options analytically / rank | |||
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Latest revision as of 09:35, 29 July 2024
scientific article; zbMATH DE number 7545757
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing credit default swaps with Parisian and Par<i>asian</i> default mechanics |
scientific article; zbMATH DE number 7545757 |
Statements
Pricing credit default swaps with Parisian and Par<i>asian</i> default mechanics (English)
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21 June 2022
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binary options
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credit default swaps
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finite difference method
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Parisian-type options
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