Semi-Analytical valuation of basket credit derivatives in intensity-based models

Journal of Derivatives

Volumn 13, Issue 4, 2006, Pages 8-26

  Mortensen, Allan ^a  

^a Goldman Sachs Group   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34547261198     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2006.635417     Document Type: Article

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