Pricing CDS index tranches under thinning-dependence structure with regime switching
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Publication:6582033
DOI10.1016/j.cam.2024.116080zbMath1546.91252MaRDI QIDQ6582033
Guojing Wang, Sungnok Chiu, Wanrong Mu
Publication date: 1 August 2024
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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