Pricing equity default swaps under the jump-to-default extended CEV model
Rafael Mendoza-Arriaga; Vadim Linetsky
| 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 | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009303137