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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+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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+Q4509488
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+MEAN-REVERTING STOCHASTIC VOLATILITY
@@ Property / cites work: MEAN-REVERTING STOCHASTIC VOLATILITY / rank @@
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+Singular Perturbations in Option Pricing
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+The pricing of credit default swaps under a generalized mixed fractional Brownian motion
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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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