Rapid and accurate development of prices and Greeks fornth to default credit swaps in the Li model
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Publication:4610234
DOI10.1088/1469-7688/4/3/003zbMath1405.91627MaRDI QIDQ4610234
Mark S. Joshi, Dherminder Kainth
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/4/3/003
91G20: Derivative securities (option pricing, hedging, etc.)
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