An analytical formula for pricing \(m\)-th to default swaps (Q2511144): Difference between revisions
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Latest revision as of 03:24, 19 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analytical formula for pricing \(m\)-th to default swaps |
scientific article |
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An analytical formula for pricing \(m\)-th to default swaps (English)
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5 August 2014
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\(m\)-th to default swaps
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principle of inclusion and exclusion
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copula models
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credit derivatives sensitives
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European max/min options
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