Valuing credit default swap under a double exponential jump diffusion model (Q462273): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G40 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / zbMATH DE Number: 6365073 / rank | |||
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credit default swap | |||
| Property / zbMATH Keywords: credit default swap / rank | |||
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Brownian motion | |||
| Property / zbMATH Keywords: Brownian motion / rank | |||
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double exponential jump-diffusion model | |||
| Property / zbMATH Keywords: double exponential jump-diffusion model / rank | |||
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Revision as of 13:06, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing credit default swap under a double exponential jump diffusion model |
scientific article |
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Valuing credit default swap under a double exponential jump diffusion model (English)
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3 November 2014
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credit default swap
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Brownian motion
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double exponential jump-diffusion model
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