CHIARELLA, CARL; MAINA, SAMUEL CHEGE; SKLIBOSIOS, … - In: International Journal of Theoretical and Applied … 16 (2013) 04, pp. 1350019-1
exponentially affine default-free and defaultable bond prices, and (b) to an approximation for pricing credit default swaps and … swaptions in terms of defaultable bond prices with varying maturities. A numerical study demonstrates that the model captures …