A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS (Q6119775)
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scientific article; zbMATH DE number 7806896
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS |
scientific article; zbMATH DE number 7806896 |
Statements
A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS (English)
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20 February 2024
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Lévy-driven OU processes
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self-decomposability
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multiple gamma processes
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credit index swaptions
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credit spreads
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