Fast valuation and calibration of credit default swaps under Lévy dynamics
| Year of publication: |
2010
|
|---|---|
| Authors: | Fang, Fang ; Jönsson, Henrik ; Oosterlee, Cornelis W ; Schoutens, Wim |
| Published in: |
The journal of computational finance. - London : Incisive Media, ISSN 1460-1559, ZDB-ID 1433009x. - Vol. 14.2010, 2, p. 57-87
|