A dynamic programming approach for pricing CDS and CDS options (Q3182747)
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scientific article; zbMATH DE number 5616505
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A dynamic programming approach for pricing CDS and CDS options |
scientific article; zbMATH DE number 5616505 |
Statements
A dynamic programming approach for pricing CDS and CDS options (English)
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16 October 2009
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credit derivatives
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credit default swaps
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Bermudan options
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dynamic programming
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doubly stochastic Poisson process
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Cox process
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0.9128874
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0.88509166
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0.86175615
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0.8496145
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0.84698915
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