Valuation of a credit swap of the basket type

Review of Derivatives Research

Volumn 4, Issue 1, 2000, Pages 81-97

  Kijima, Masaaki ^a  

^a TOKYO METROPOLITAN UNIVERSITY   (Japan)

Author keywords

Conditional independence; Default intensity process; Extended vasicek model; Joint survival probability; Risk neutral valuation

Indexed keywords

EID: 5444221201     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1009628513231     Document Type: Article

References (18)

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