On a convergent power series method to price defaultable bonds in a Vasicek-CIR model
Author:
Affiliation:
1. University of L’Aquila
2. Dept. Economics and Finance, University of Roma – Tor Vergata
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference27 articles.
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4. Antonelli F., Ramponi A., Scarlatti S., CVA and vulnerable options by correlation expansion, Annals of Operations Research, https://doi.org/10.1007/s10479-019-03367-z, 1–27 (2019).
5. Ballestra T., Pacelli G., Radi D.,Modeling CDS spreads: A comparison of some hybrid approaches, Journal of Empirical Finance, 57,107–124 (2020)
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