Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
Year of publication: |
2015
|
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Authors: | Hao, Xuemiao ; Li, Xuan |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 65.2015, p. 103-110
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Subject: | Credit default swap | Infinite activity | Lévy process | Random recovery rate | Structural model | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Swap | Insolvenz | Insolvency |
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