Pricing credit default swap with contagious risk and simulation

Author:

Hao Ruili,Zhang Jinqing,Liu Yonghui,Hu Zhouhong

Publisher

Springer Science and Business Media LLC

Subject

Multidisciplinary

Reference12 articles.

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2. MERTON R C. On the pricing of corporate debt: The risk structure of interest rates [J]. Journal of Finance, 1974, 29: 449–470.

3. DUFFIE D, SINGLETON K J. Modeling term structures of defaultable bonds [R]. Stanford, California: Stanford University Business School, 1995.

4. JARROW R A, LNADO D, TURNBULL S M. A markov model for the term structure of credit risk spreads [J]. The Review of Financial Studies, 1997, 10(2): 481–523.

5. JARROW R A, TURNBULL S M. Pricing derivatives on financial securities subject to credit risk [J]. Journal of Finance, 1995, 50(1): 53–85.

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