Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Z. Palmowski, B.A. Surya
| Year of publication: |
2020
|
|---|---|
| Authors: | Palmowski, Z. ; Budhi Arta Surya |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 93.2020, p. 168-177
|
| Subject: | Credit default swaps | Credit risk | Drawdown | Lévy process | swaps | Kreditderivat | Credit derivative | Kreditrisiko | Swap | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Kreditversicherung | Credit insurance | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.04.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012294093