American step-up and step-down default swaps under Lévy models (Q5746748): Difference between revisions
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Revision as of 23:11, 5 March 2024
scientific article; zbMATH DE number 6256465
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | American step-up and step-down default swaps under Lévy models |
scientific article; zbMATH DE number 6256465 |
Statements
American step-up and step-down default swaps under Lévy models (English)
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8 February 2014
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optimal stopping
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credit default swaps
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step-up and step-down options
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Lévy processes
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scale functions
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