Local volatility and the recovery rate of credit default swaps (Q1657603)
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scientific article; zbMATH DE number 6917211
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Local volatility and the recovery rate of credit default swaps |
scientific article; zbMATH DE number 6917211 |
Statements
Local volatility and the recovery rate of credit default swaps (English)
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13 August 2018
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credit default swap
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recovery rates
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implied tree models
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implied volatility
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local volatility
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option pricing
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