Hedging of a credit default swaption in the CIR default intensity model
| Year of publication: |
2011
|
|---|---|
| Authors: | Bielecki, Tomasz ; Jeanblanc, Monique ; Rutkowski, Marek |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 3, p. 541-572
|
| Publisher: |
Springer |
| Subject: | CDS swaption | CIR intensity | Hedging |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009324932