On a convergent power series method to price defaultable bonds in a Vašíček-CIR model
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Cites work
- scientific article; zbMATH DE number 5181830 (Why is no real title available?)
- A comparison of biased simulation schemes for stochastic volatility models
- Analysis of nonlinear valuation equations under credit and funding effects
- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
- Exchange option pricing under stochastic volatility: a correlation expansion
- Market implied volatilities for defaultable bonds
- Modeling credit risk with partial information.
- On Cox processes and credit risky securities
- On expansions for the Black-Scholes prices and hedge parameters
- On the Heston model with stochastic interest rates
- PDE approach to valuation and hedging of credit derivatives
- Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
- Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
- Pricing options under stochastic volatility: a power series approach
- Pricing the risks of default
- Term Structures of Credit Spreads with Incomplete Accounting Information
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