CDS calibration under an extended JDCEV model (Q5031741)
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scientific article; zbMATH DE number 7474764
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| English | CDS calibration under an extended JDCEV model |
scientific article; zbMATH DE number 7474764 |
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CDS calibration under an extended JDCEV model (English)
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16 February 2022
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credit default swap
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hybrid credit-equity model
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constant elasticity of variance model
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asymptotic expansion
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0.8087712
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0.8021999
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0.79853874
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0.79517466
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