Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model
Year of publication: |
2008-10-01
|
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Authors: | Chiarella, Carl ; Fanelli, Viviana ; Musti, Silvana |
Institutions: | Finance Discipline Group, Business School |
Subject: | HJM model | Cox process | Monte Carlo method | bond price | CDS option |
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