Valuing credit default swap under a double exponential jump diffusion model (Q462273): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: A Jump-Diffusion Model for Option Pricing / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: First passage times of a jump diffusion process / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Valuing credit derivatives in a jump-diffusion model / rank | |||
Normal rank | |||
Latest revision as of 05:43, 9 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing credit default swap under a double exponential jump diffusion model |
scientific article |
Statements
Valuing credit default swap under a double exponential jump diffusion model (English)
0 references
3 November 2014
0 references
credit default swap
0 references
Brownian motion
0 references
double exponential jump-diffusion model
0 references
