An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. (Q2315470)
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scientific article; zbMATH DE number 7088746
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| English | An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. |
scientific article; zbMATH DE number 7088746 |
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An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. (English)
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5 August 2019
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credit default swaps
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fast mean-reverting volatility
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perturbation method
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0.8583880066871643
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0.8382046222686768
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0.8084200024604797
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0.7830739617347717
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