Single name credit default swaptions meet single sided jump models
| Year of publication: |
2008
|
|---|---|
| Authors: | Jönsson, Henrik ; Schoutens, Wim |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 11.2008, 1, p. 153-169
|
| Publisher: |
Springer |
| Subject: | Single sided Levy processes | Structural models | Credit risk | Default probability | Credit Default Swaptions | Option pricing |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005542786