THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
BRIGO, DAMIANO, COUSOT, LAURENTVolume:
9
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024906003597
Date:
May, 2006
File:
PDF, 301 KB
english, 2006