An implied volatility model determined by credit default swaps (Q4902545)
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scientific article; zbMATH DE number 6125924
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| default for all languages | No label defined |
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| English | An implied volatility model determined by credit default swaps |
scientific article; zbMATH DE number 6125924 |
Statements
AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS (English)
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16 January 2013
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implied volatility model
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CDS spreads
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stock options
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finite elements
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calibration
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0.8061305284500122
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0.7950236797332764
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0.7858292460441589
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0.785524308681488
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0.7847707867622375
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