A Lévy-Driven Ornstein-Uhlenbeck process for the valuation of credit index swaptions

Yoshihiro Shirai

Year of publication:	2023
Authors:	Shirai, Yoshihiro
Subject:	credit index swaptions \| credit spreads \| Lévy-driven OU processes \| multiple gamma processes \| self-decomposability \| Zinsstruktur \| Yield curve \| Optionspreistheorie \| Option pricing theory \| Swap \| Kreditrisiko \| Credit risk \| Stochastischer Prozess \| Stochastic process

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