Pricing equity default swaps under the jump-to-default extended CEV model
| Year of publication: |
2011
|
|---|---|
| Authors: | Mendoza-Arriaga, Rafael ; Linetsky, Vadim |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 3, p. 513-540
|
| Publisher: |
Springer |
| Subject: | Default | Credit default swaps | Equity default swaps | Credit spread | Corporate bonds | Equity derivatives | Credit derivatives | CEV model | Jump-to-default extended CEV model |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009324934