Tempered stable structural model in pricing credit spread and credit default swap
Sung Ik Kim, Young Shin Kim
| Year of publication: |
2018
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|---|---|
| Authors: | Kim, Sung Ik ; Kim, Young Shin |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 21.2018, 1, p. 119-148
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| Subject: | Credit derivatives | Credit risk | Normal tempered stable process | Structural model | Kreditrisiko | Kreditderivat | Credit derivative | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-017-9135-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012055733