Stochastic Volatility Effects on Defaultable Bonds (Q3424326)
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scientific article; zbMATH DE number 5127626
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Stochastic Volatility Effects on Defaultable Bonds |
scientific article; zbMATH DE number 5127626 |
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Stochastic Volatility Effects on Defaultable Bonds (English)
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15 February 2007
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first-passage structural approach
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stochastic volatility
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time scales
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yield spreads
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calibration
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0.843425452709198
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0.8066821694374084
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0.7772085070610046
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0.7688889503479004
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