Pricing the risks of default: a note on Madan and Unal
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Publication:704014
DOI10.1023/B:REDR.0000031177.45539.1DzbMath1089.91035MaRDI QIDQ704014
Publication date: 12 January 2005
Published in: Review of Derivatives Research (Search for Journal in Brave)
Related Items (3)
A jump to default extended CEV model: an application of Bessel processes ⋮ Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market ⋮ A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
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