Hedging of a credit default swaption in the CIR default intensity model (Q483934)
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scientific article; zbMATH DE number 6381428
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Hedging of a credit default swaption in the CIR default intensity model |
scientific article; zbMATH DE number 6381428 |
Statements
Hedging of a credit default swaption in the CIR default intensity model (English)
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17 December 2014
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CDS swaption
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CIR intensity
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hedging
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0.9106137
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0.9005596
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0.8910873
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0.8856629
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0.8851094
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0.8845252
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0.88319576
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