Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model (Q621671)
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scientific article; zbMATH DE number 5842684
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| English | Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model |
scientific article; zbMATH DE number 5842684 |
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Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model (English)
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28 January 2011
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pricing
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HJM model
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Cox process
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Monte Carlo method
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CDS option
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0.8078331351280212
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0.771375298500061
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0.7655069231987
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0.7649936676025391
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0.7647475600242615
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