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A Spread-Based Model for the Valuation of Credit Derivatives with Correlated Defaults and Counter-Party Risks - MaRDI portal

A Spread-Based Model for the Valuation of Credit Derivatives with Correlated Defaults and Counter-Party Risks

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Publication:3434840

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DOI10.1016/S0196-3821(06)23007-7zbMath1173.91403OpenAlexW2502413301MaRDI QIDQ3434840

Chuang-Chang Chang, Jih-Chieh Yu

Publication date: 3 May 2007

Published in: Research in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0196-3821(06)23007-7

Mathematics Subject Classification ID

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