Pricing equity default swaps under the jump-to-default extended CEV model (Q483933): Difference between revisions
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| Property / author: Vadim Linetsky / rank | |||
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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: 60J70 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / zbMATH DE Number: 6381427 / rank | |||
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default | |||
| Property / zbMATH Keywords: default / rank | |||
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credit default swaps | |||
| Property / zbMATH Keywords: credit default swaps / rank | |||
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equity default swaps | |||
| Property / zbMATH Keywords: equity default swaps / rank | |||
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credit spread | |||
| Property / zbMATH Keywords: credit spread / rank | |||
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corporate bonds | |||
| Property / zbMATH Keywords: corporate bonds / rank | |||
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equity derivatives | |||
| Property / zbMATH Keywords: equity derivatives / rank | |||
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credit derivatives | |||
| Property / zbMATH Keywords: credit derivatives / rank | |||
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CEV model | |||
| Property / zbMATH Keywords: CEV model / rank | |||
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| Property / zbMATH Keywords | |||
jump-to-default extended CEV model | |||
| Property / zbMATH Keywords: jump-to-default extended CEV model / rank | |||
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Revision as of 21:01, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing equity default swaps under the jump-to-default extended CEV model |
scientific article |
Statements
Pricing equity default swaps under the jump-to-default extended CEV model (English)
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17 December 2014
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default
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credit default swaps
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equity default swaps
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credit spread
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corporate bonds
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equity derivatives
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credit derivatives
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CEV model
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jump-to-default extended CEV model
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