Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model (Q2951895)
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scientific article; zbMATH DE number 6673298
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| English | Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model |
scientific article; zbMATH DE number 6673298 |
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Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model (English)
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10 January 2017
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defaultable bond
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stochastic volatility
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bond options
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quadratic model
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0.9067168
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0.9015025
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0.9008674
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0.89644384
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0.8946837
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0.8929707
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0.8917242
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0.8876177
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