A Monte-Carlo based approach for pricing credit default swaps with regime switching (Q2293596)
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scientific article; zbMATH DE number 7163121
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| default for all languages | No label defined |
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| English | A Monte-Carlo based approach for pricing credit default swaps with regime switching |
scientific article; zbMATH DE number 7163121 |
Statements
A Monte-Carlo based approach for pricing credit default swaps with regime switching (English)
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5 February 2020
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credit default swap
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down-and-out binary option
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regime switching
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Monte Carlo
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time-dependent Black-Scholes equation
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0.8818183541297913
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0.8392802476882935
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0.8352523446083069
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0.8015459179878235
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