Variance Swaps on Defaultable Assets and Market Implied Time-Changes (Q2813077)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variance Swaps on Defaultable Assets and Market Implied Time-Changes |
scientific article |
Statements
Variance Swaps on Defaultable Assets and Market Implied Time-Changes (English)
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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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