A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives (Q1933756)
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scientific article; zbMATH DE number 6130807
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives |
scientific article; zbMATH DE number 6130807 |
Statements
A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives (English)
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25 January 2013
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thinning-dependence structure
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regime switching
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jump-diffusion model
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joint conditional survival probability
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portfolio credit derivatives
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0.841376543045044
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0.8222213983535767
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0.8202589750289917
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0.8162591457366943
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0.8145998120307922
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