Empirical analysis and calibration of the CEV process for pricing equity default swaps
10.1080/14697680903547915
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sg-nus-scholar.10635-964462024-11-09T10:33:50Z Empirical analysis and calibration of the CEV process for pricing equity default swaps Baaquie, B.E. Pan, T. Bhanap, J.D. PHYSICS CEV process Credit Default Swaps Equity Default Swaps Monte Carlo simulation Probability of default 10.1080/14697680903547915 Quantitative Finance 11 12 1815-1823 2014-10-16T09:23:31Z 2014-10-16T09:23:31Z 2011-12 Article Baaquie, B.E., Pan, T., Bhanap, J.D. (2011-12). Empirical analysis and calibration of the CEV process for pricing equity default swaps. Quantitative Finance 11 (12) : 1815-1823. ScholarBank@NUS Repository. https://doi.org/10.1080/14697680903547915 14697688 http://scholarbank.nus.edu.sg/handle/10635/96446 000299887800010 Scopus |
| institution |
National University of Singapore |
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NUS Library |
| continent |
Asia |
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Singapore Singapore |
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NUS Library |
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ScholarBank@NUS |
| topic |
CEV process Credit Default Swaps Equity Default Swaps Monte Carlo simulation Probability of default |
| spellingShingle |
CEV process Credit Default Swaps Equity Default Swaps Monte Carlo simulation Probability of default Baaquie, B.E. Pan, T. Bhanap, J.D. Empirical analysis and calibration of the CEV process for pricing equity default swaps |
| description |
10.1080/14697680903547915 |
| author2 |
PHYSICS |
| author_facet |
PHYSICS Baaquie, B.E. Pan, T. Bhanap, J.D. |
| format |
Article |
| author |
Baaquie, B.E. Pan, T. Bhanap, J.D. |
| author_sort |
Baaquie, B.E. |
| title |
Empirical analysis and calibration of the CEV process for pricing equity default swaps |
| title_short |
Empirical analysis and calibration of the CEV process for pricing equity default swaps |
| title_full |
Empirical analysis and calibration of the CEV process for pricing equity default swaps |
| title_fullStr |
Empirical analysis and calibration of the CEV process for pricing equity default swaps |
| title_full_unstemmed |
Empirical analysis and calibration of the CEV process for pricing equity default swaps |
| title_sort |
empirical analysis and calibration of the cev process for pricing equity default swaps |
| publishDate |
2014 |
| url |
http://scholarbank.nus.edu.sg/handle/10635/96446 |
| _version_ |
1821182534103334912 |