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- W2043662743 abstract "Diffusion-based Credit Default Swap (CDS) pricing models produce zero spreads for very short-term contracts, which contradict empirical data. We introduce a simulation-based CDS pricing approach that avoids the zero short-term spreads problem through a jump-diffusion process." @default.
- W2043662743 created "2016-06-24" @default.
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- W2043662743 date "2003-12-07" @default.
- W2043662743 modified "2023-09-23" @default.
- W2043662743 title "Simulation for risk management: a simulation-based credit default swap pricing approach under jump-diffusion" @default.
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- W2043662743 doi "https://doi.org/10.5555/1030818.1030868" @default.
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