VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS (Q3655556): Difference between revisions
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| Property / cites work: Pricing and trading credit default swaps in a hazard process model / rank | |||
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| Property / cites work: Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model / rank | |||
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| Property / cites work: Valuation of credit default swaps and swaptions / rank | |||
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Latest revision as of 07:53, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS |
scientific article |
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VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS (English)
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8 January 2010
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credit default swap
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credit default swaption
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credit default index swap
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hedging
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Black formula
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