Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process

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Publication:784432

DOI10.1016/j.insmatheco.2020.04.011zbMath1446.91070arXiv1904.10063OpenAlexW3026165196MaRDI QIDQ784432

Zbigniew Palmowski, Budhi A. Surya

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.10063




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