Flexing the default barrier

DOI10.1080/14697688.2010.481633zbMath1277.91183MaRDI QIDQ2866385

Paul Schneider, Tanja Veža, Gregor Dorfleitner

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://epub.uni-regensburg.de/13465/1/SSRN-id1343513.pdf

zbMATH Keywords

Green's function; calibration; credit default swap; structural model; default boundary

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

91G40: Credit risk

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