Interest rate swap pricing with default risk under variance gamma process
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Publication:2408891
DOI10.1007/s11766-017-3290-1zbMath1389.91120OpenAlexW2592398191MaRDI QIDQ2408891
Publication date: 20 October 2017
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-017-3290-1
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- Option Pricing With V. G. Martingale Components1
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