Introducing fuzziness in CDS pricing under a structural model
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Cites work
- scientific article; zbMATH DE number 3946050 (Why is no real title available?)
- A reduced-form intensity-based model under fuzzy environments
- Credit derivatives pricing model for fuzzy financial market
- First passage times of a jump diffusion process
- Fuzzy defaultable bonds
- Fuzzy sets
- On the single name CDS price under structural modeling
- Pricing credit default swaps under a multi-scale stochastic volatility model
- The total return swap pricing model under fuzzy random environments
- The valuation of European options in uncertain environment
Cited in
(6)- A new default probability calculation formula and its application under uncertain environments
- On the single name CDS price under structural modeling
- The total return swap pricing model under fuzzy random environments
- Basket credit default swap pricing with two defaultable counterparties
- Credit default swap pricing with counterparty risk in a reduced form model with a common jump process
- Credit derivatives pricing model for fuzzy financial market
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