Tempered stable structural model in pricing credit spread and credit default swap

DOI10.1007/s11147-017-9135-5zbMath1417.91527OpenAlexW2729450581MaRDI QIDQ1621638

Y. Aharonov

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-017-9135-5

zbMATH Keywords

credit riskcredit derivativesstructural modelnormal tempered stable process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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