Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
| Year of publication: |
2011
|
|---|---|
| Authors: | Choe, Geon Ho ; Jang, Hyun Jin |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : North Holland Publ. Co, ISSN 0167-6687, ZDB-ID 8864x. - Vol. 48.2011, 2, p. 205-214
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