The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Year of publication: |
2006
|
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Authors: | Brigo, Damiano ; Cousot, Laurent |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 9.2006, 3, p. 315-339
|
Subject: | Kreditrisiko | Credit risk | Kreditversicherung | Credit insurance | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Theorie | Theory | Kreditderivat | Credit derivative |
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