Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
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Publication:1644065
DOI10.1016/j.amc.2013.12.115zbMath1410.91473OpenAlexW2049050321MaRDI QIDQ1644065
Hong Li, Xue Liang, Guo-jing Wang
Publication date: 21 June 2018
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2013.12.115
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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