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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Revision as of 23:04, 12 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 |
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An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. (English)
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5 August 2019
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credit default swaps
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fast mean-reverting volatility
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perturbation method
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