Variance swaps on defaultable assets and market implied time-changes (Q2813077)
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scientific article; zbMATH DE number 6593366
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Variance swaps on defaultable assets and market implied time-changes |
scientific article; zbMATH DE number 6593366 |
Statements
15 June 2016
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variance swaps
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subordination
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default
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bankruptcy
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jump-to-default constant elasticity of variance (JDCEV)
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implied time-changes
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Variance swaps on defaultable assets and market implied time-changes (English)
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0.8457424640655518
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0.8312283158302307
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0.7987931966781616
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0.7820066809654236
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0.7771146297454834
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