Chen, Ren-Raw; Cheng, Xiaolin; Liu, Bo - In: Insurance: Mathematics and Economics 43 (2008) 3, pp. 339-349
Chen, Cheng, Fabozzi and Liu [Chen, Ren-Raw, Cheng, Xiaolin, Fabozzi, Frank, Liu, Bo, 2008. An explicit, multi- factor credit default swap pricing model with correlated factors. J. Financial Quantitative Anal. 43 (1), 123-160] provide an explicit solution to the value of the credit default swap...
