Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Year of publication: |
2020
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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 | Kreditversicherung | Credit insurance | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management |
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