Pricing equity default swaps under the jump-to-default extended CEV model

✍ Scribed by Rafael Mendoza-Arriaga; Vadim Linetsky

• Publisher: Springer-Verlag
• Year: 2010
• Tongue: English
• Weight: 983 KB
• Volume: 15
• Category: Article
• ISSN: 0949-2984
• DOI: 10.1007/s00780-010-0139-3