Author:
Wu Po-Cheng,Kao Lie-Jane,Lee Cheng-Few
Reference18 articles.
1. Andersen, L., Sidenius, J., & Basu, S. (2003). All your hedges in one basket. Risk, 16(11), 67–72.
2. Bastide, D., Benhamou, E., & Ciuca, M. (2007). A comparative analysis of basket default swaps pricing using the Stein method. Working paper, pricing partners.
3. Brigo, D., & Chourdakis, K. (2009). Counterparty risk for credit default swaps: Impact of spread volatility and default correlation. International Journal of Theoretical and Applied Finance, 12(7), 1007–1026.
4. Chen, Z., & Glasserman, P. (2008). Fast pricing of basket default swaps. Operations Research, 56(2), 286–303.
5. Chiang, M. H., Yueh, M. L., & Hsieh, M. H. (2007). An efficient algorithm for basket default swap valuation. Journal of Derivatives, 15(2), 1–22.