Pricing credit spread options under a Markov chain model with stochastic default rate
| Year of publication: |
2004
|
|---|---|
| Authors: | Kang, Jangkoo ; Kim, Hwa-Sung |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139x. - Vol. 24.2004, 7, p. 631-648
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