Fast valuation and calibration of credit default swaps under Lévy dynamics
Year of publication: |
2010
|
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Authors: | Fang, Fang ; Jönsson, Henrik ; Oosterlee, Cornelis W. ; Schoutens, Wim |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 14.2010/11, 2, p. 57-86
|
Subject: | Kreditderivat | Credit derivative | Optionspreistheorie | Option pricing theory | Kreditversicherung | Credit insurance | Kreditrisiko | Credit risk | Swap |
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