Thekth default time distribution and basket default swap pricing
Author:
Affiliation:
1. a Department of Mathematical Sciences , KAIST , Daejeon 305-701 , Korea
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2010.494611
Reference23 articles.
1. Fast Pricing of Basket Default Swaps
2. An Efficient Algorithm for Basket Default Swap Valuation
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