Rapid and accurate development of prices and Greeks for...

Rapid and accurate development of prices and Greeks for n th to default credit swaps in the Li model

Joshi, Mark S, Kainth, Dherminder
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Volume:
4
Language:
english
Journal:
Quantitative Finance
DOI:
10.1088/1469-7688/4/3/003
Date:
June, 2004
File:
PDF, 739 KB
english, 2004
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