Tempered stable structural model in pricing credit spread and credit default swap

DOI10.1007/s11147-017-9135-5zbMath1417.91527MaRDI QIDQ1621638

Y. Aharonov

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-017-9135-5

zbMATH Keywords

credit risk; credit derivatives; structural model; normal tempered stable process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk