Ben-Ameur, Hatem; Brigo, Damiano; Errais, Eymen - In: Quantitative Finance 9 (2009) 6, pp. 717-726
We propose a flexible framework for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDSs) and European, American and Bermudan CDS options. The default of the underlying reference entity is modelled within a doubly stochastic framework where the default...