CDS calibration under an extended JDCEV model
DOI10.1080/00207160.2018.1512104zbMath1499.91170OpenAlexW2887380817MaRDI QIDQ5031741
Sidy Diop, Marco Di Francesco, Andrea Pascucci
Publication date: 16 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2018.1512104
asymptotic expansioncredit default swapconstant elasticity of variance modelhybrid credit-equity model
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Credit risk (91G40)
Related Items (2)
Cites Work
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