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Do correlated defaults matter for CDS premia?
Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
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Single name credit default swaptions meet single sided jump models
Jönsson, Henrik; Schoutens, Wim - In: Review of derivatives research 11 (2008) 1/2, pp. 153-169
Persistent link: https://www.econbiz.de/10003829573
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Delta-hedging correlation risk?
Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56
Persistent link: https://www.econbiz.de/10009627434
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Tempered stable structural model in pricing credit spread and credit default swap
Kim, Sung Ik; Kim, Young Shin - In: Review of derivatives research 21 (2018) 1, pp. 119-148
Persistent link: https://www.econbiz.de/10012055733