Pricing kth-to-Default Swaps Under Default Contagion: The...

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Pricing kth-to-Default Swaps Under Default Contagion: The Matrix-Analytic Approach

Herbertsson, Alexander, Rootzén, Holger
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Year:
2007
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.962381
File:
PDF, 436 KB
english, 2007
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