Empirical analysis and calibration of the CEV process for pricing equity default swaps (Q2866396)
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scientific article; zbMATH DE number 6238234
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| English | Empirical analysis and calibration of the CEV process for pricing equity default swaps |
scientific article; zbMATH DE number 6238234 |
Statements
Empirical analysis and calibration of the CEV process for pricing equity default swaps (English)
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13 December 2013
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equity default swaps
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credit default swaps
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CEV process
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probability of default
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Monte Carlo simulation
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0.8591852784156799
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0.7916536927223206
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0.7457206845283508
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0.7366310358047485
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0.728945255279541
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