Valuation of a credit spread put option: the stable Paretian model with copulas (Q3374061)
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scientific article; zbMATH DE number 5010394
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| English | Valuation of a credit spread put option: the stable Paretian model with copulas |
scientific article; zbMATH DE number 5010394 |
Statements
9 March 2006
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credit risk methodology
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spot and intensity rate processes
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copulas
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0.781055748462677
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0.781055748462677
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0.7768957018852234
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0.769356369972229
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