Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang Fang; Henrik Jönsson; Cornelis W. Oosterlee; Wim Schoutens
| Year of publication: |
2010
|
|---|---|
| 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 | Kreditversicherung | Credit insurance | 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/10008810136