Pricing credit derivatives under stochastic recovery in a hybrid model
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Publication:3103152
DOI10.1002/asmb.792zbMath1226.91077MaRDI QIDQ3103152
Publication date: 26 November 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.792
91G20: Derivative securities (option pricing, hedging, etc.)
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