Finite-time survival probability and credit default swaps pricing under geometric Lévy markets (Q2445987)
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scientific article; zbMATH DE number 6285063
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| English | Finite-time survival probability and credit default swaps pricing under geometric Lévy markets |
scientific article; zbMATH DE number 6285063 |
Statements
Finite-time survival probability and credit default swaps pricing under geometric Lévy markets (English)
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15 April 2014
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credit default swap
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finite-time survival probability
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first-passage time
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Lévy process
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structural model
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0.7844293117523193
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0.760547399520874
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0.7594912648200989
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0.7569075226783752
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0.7559812068939209
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