FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS
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Publication:5010070
DOI10.1142/S0219024921500175zbMath1470.91284arXiv2108.06578OpenAlexW3193804794MaRDI QIDQ5010070
Matteo Michielon, Peter Spreij, Asma Khedher
Publication date: 24 August 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.06578
Choquet integralliquiditybid-ask spreadcredit default swapdefault probabilityreduced-form modeldistorted expectationconic financeconcave distortionindex of acceptabilitytwo-price economy
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