Pricing credit default swaps under a multi-scale stochastic volatility model (Q1620315)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing credit default swaps under a multi-scale stochastic volatility model |
scientific article |
Statements
Pricing credit default swaps under a multi-scale stochastic volatility model (English)
0 references
13 November 2018
0 references
credit default swaps
0 references
multi-scale
0 references
stochastic volatility
0 references
perturbation method
0 references
down-and-out binary option
0 references
