THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
Year of publication: |
2006
|
---|---|
Authors: | BRIGO, DAMIANO ; COUSOT, LAURENT |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 03, p. 315-339
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Stochastic intensity model | credit default swap | calibration | option pricing | credit spread volatility | Monte Carlo simulation |
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