Valuation of a credit swap of the basket type (Q375320)
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scientific article; zbMATH DE number 6220885
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Valuation of a credit swap of the basket type |
scientific article; zbMATH DE number 6220885 |
Statements
Valuation of a credit swap of the basket type (English)
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29 October 2013
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risk-neutral valuation
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joint survival probability
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default intensity process
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conditional independence
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extended Vasicek model
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0.8780356049537659
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0.8395681381225586
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0.803500771522522
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0.796286940574646
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0.7871245741844177
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