Single name credit default swaptions meet single sided jump models
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Publication:1025620
DOI10.1007/s11147-008-9027-9zbMath1163.91434OpenAlexW2159869594MaRDI QIDQ1025620
Publication date: 19 June 2009
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-008-9027-9
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Related Items (3)
EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY ⋮ American step-up and step-down default swaps under Lévy models ⋮ An extension of CreditGrades model approach with Lévy processes
Cites Work
- Evaluating first-passage probabilities for spectrally one-sided Lévy processes
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Valuing American Options by Simulation: A Simple Least-Squares Approach
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