Pricing of swaps with default risk

Review of Derivatives Research

Volumn 2, Issue 2-3, 1998, Pages 231-250

  Li, Haitao ^a  

^a SAS Institute Inc   (United States)

Author keywords

Contingent claim analysis; Credit risk; Currency swaps; Interest rate swaps

Indexed keywords

EID: 54749157081     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF01531336     Document Type: Article

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