Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions
Year of publication: |
2009
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Authors: | Papenbrock, Jochen ; Rachev, Svetlozar ; Hochstotter, Markus ; Fabozzi, Frank |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 10779735. - Vol. 19.2009, 17, p. 1401-1416
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