Pricing credit default swaps under a multi-scale stochastic volatility model (Q1620315)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing credit default swaps under a multi-scale stochastic volatility model |
scientific article; zbMATH DE number 6978799
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing credit default swaps under a multi-scale stochastic volatility model |
scientific article; zbMATH DE number 6978799 |
Statements
Pricing credit default swaps under a multi-scale stochastic volatility model (English)
0 references
13 November 2018
0 references
credit default swaps
0 references
multi-scale
0 references
stochastic volatility
0 references
perturbation method
0 references
down-and-out binary option
0 references
0 references
0 references
0 references
0.9285239
0 references
0.9273394
0 references
0.9208151
0 references
0.9201218
0 references
0.9111664
0 references
0.9103429
0 references
0.90988344
0 references
0.90861297
0 references
0.9042188
0 references
