Valuing credit default swap under a double exponential jump diffusion model (Q462273)
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scientific article; zbMATH DE number 6365073
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Valuing credit default swap under a double exponential jump diffusion model |
scientific article; zbMATH DE number 6365073 |
Statements
Valuing credit default swap under a double exponential jump diffusion model (English)
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3 November 2014
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credit default swap
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Brownian motion
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double exponential jump-diffusion model
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0.8399816155433655
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0.8337518572807312
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0.8083661794662476
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0.7976967692375183
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0.7922102808952332
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