An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. (Q2315470): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 15:21, 2 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. |
scientific article |
Statements
An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. (English)
0 references
5 August 2019
0 references
credit default swaps
0 references
fast mean-reverting volatility
0 references
perturbation method
0 references