Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform (Q896751)
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scientific article; zbMATH DE number 6520856
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform |
scientific article; zbMATH DE number 6520856 |
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Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform (English)
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14 December 2015
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credit default swap
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infinite activity
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Lévy process
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random recovery rate
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structural model
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