Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process (Q784432)
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scientific article
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| default for all languages | No label defined |
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| English | Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process |
scientific article |
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Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process (English)
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3 August 2020
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Lévy process
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drawdown
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credit risk
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credit default swaps
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swaps
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0.8224092721939087
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0.7981854677200317
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0.7837819457054138
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0.765585720539093
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0.7403030395507812
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