Pricing equity default swaps under the jump-to-default extended CEV model
Year of publication: |
2011
|
---|---|
Authors: | Mendoza-Arriaga, Rafael ; Linetsky, Vadim |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 15.2011, 3, p. 513-540
|
Subject: | Swap | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Kreditrisiko | Credit risk |
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