The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift
Xianghua Liu and Xueping Xiao
| Year of publication: |
2014
|
|---|---|
| Authors: | Liu, Xianghua ; Xiao, Xueping |
| Published in: |
International journal of services technology and management. - Wolvertin Mill : Interscience Enterprises, ISSN 1460-6720, ZDB-ID 2072619-3. - Vol. 20.2014, 1/2/3, p. 71-84
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| Subject: | credit default swap | CDS | jump-diffusion process | Markow regime shift | Monte Carlo simulations | Kreditderivat | Credit derivative | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Swap | Derivat | Derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010505392