AN EXACT FORMULA FOR DEFAULT SWAPTIONS' PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
| Year of publication: |
2010
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|---|---|
| Authors: | Brigo, Damiano ; El-Bachir, Naoufel |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 10731945. - Vol. 20.2010, 3, p. 365-383
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