Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
Year of publication: |
2013
|
---|---|
Authors: | Hao, Xuemiao ; Li, Xuan ; Shimizu, Yasutaka |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 1, p. 14-23
|
Subject: | Kreditderivat | Credit derivative | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk |
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