A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives
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Publication:3116718
DOI10.1287/mnsc.46.1.46.15124zbMath1231.91462OpenAlexW2025720266MaRDI QIDQ3116718
Rangarajan K. Sundaram, Sanjiv Ranjan Das
Publication date: 12 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.46.1.46.15124
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Related Items (4)
Valuing credit derivatives in a jump-diffusion model ⋮ Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model ⋮ Closed-form solutions for pricing credit-risky bonds and bond options ⋮ Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
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