A three-factor hazard rate model for single-name credit default swap pricing
Year of publication: |
2022
|
---|---|
Authors: | Zhong, Yangfan ; Mi, Yanhui |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 18.2022, 2, p. 27-63
|
Subject: | reduced-form model | hazard rate | credit derivatives | affine diffusion process | jump todefault | hedging ratio | Kreditderivat | Credit derivative | Derivat | Derivative | Kreditrisiko | Credit risk | Hedging | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution |
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