On reduced-form intensity-based model with ‘trigger’ events
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- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Reduced Form Intensity-based Model with Trigger Events," Papers 1301.0109, arXiv.org.
References listed on IDEAS
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Cited by:
- Gechun Liang & Xingchun Wang, 2021.
"Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes,"
Review of Derivatives Research, Springer, vol. 24(1), pages 1-30, April.
- Gechun Liang & Xingchun Wang, 2020. "Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes," Papers 2001.09443, arXiv.org, revised Jun 2020.
- Jonathan Crook & David Edelman, 2014. "Special issue credit risk modelling," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(3), pages 321-322, March.
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