Valuation of basket credit default swaps by the partial differential equation method (Q3640968)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Valuation of basket credit default swaps by the partial differential equation method |
scientific article; zbMATH DE number 5630397
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Valuation of basket credit default swaps by the partial differential equation method |
scientific article; zbMATH DE number 5630397 |
Statements
11 November 2009
0 references
joint survival probability
0 references
default intensity
0 references
credit default swap
0 references
PDE approach
0 references
0.8435395359992981
0 references
0.8395681381225586
0 references
0.8182660937309265
0 references
0.8180534839630127
0 references
0.8079032301902771
0 references
