Pricing credit derivatives under stochastic recovery in a hybrid model (Q3103152)
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scientific article; zbMATH DE number 5981192
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| English | Pricing credit derivatives under stochastic recovery in a hybrid model |
scientific article; zbMATH DE number 5981192 |
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Pricing credit derivatives under stochastic recovery in a hybrid model (English)
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26 November 2011
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CDS pricing
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credit risk
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recovery rate
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0.800093948841095
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0.79595947265625
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0.7944306135177612
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0.7933713793754578
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