Modeling credit default swap premiums with stochastic recovery rate
Pricing of Securities
2017-06-20 v1 Probability
Abstract
There are many studies on development of models for analyzing some derivatives such as credit default swaps .
Keywords
Cite
@article{arxiv.1706.05703,
title = {Modeling credit default swap premiums with stochastic recovery rate},
author = {Zahra Sokoot and Navideh Modarresi and Farzaneh Niknejad},
journal= {arXiv preprint arXiv:1706.05703},
year = {2017}
}