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Author: | Das, S.R. Sundaram, R.K. |
Title: | A discrete-time approach to arbitrage-free pricing of credit derivatives |
Journal: | Management Science
2000 : JAN, VOL. 46:1, p. 46-62 |
Index terms: | Arbitrage pricing theory Credit Models |
Language: | eng |
Abstract: | This paper developes a framework for modelling risky debt and valuing credit derivatives that is flexible and simple to implement, and that is, to the maximum extent possible, based on observables. |
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