A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap (Q940499)
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scientific article; zbMATH DE number 5318325
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap |
scientific article; zbMATH DE number 5318325 |
Statements
A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap (English)
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1 September 2008
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change of measure
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CDS
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0.7374693751335144
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0.7350109815597534
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0.7318571209907532
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0.7293849587440491
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0.7270956039428711
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