An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.
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Publication:2315470
DOI10.21136/AM.2019.0313-17WikidataQ128083431 ScholiaQ128083431MaRDI QIDQ2315470
Publication date: 5 August 2019
Published in: Applications of Mathematics (Search for Journal in Brave)
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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- Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion
- Stochastic calculus for finance. II: Continuous-time models.
- MEAN-REVERTING STOCHASTIC VOLATILITY
- COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
- A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
- Singular Perturbations in Option Pricing