Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads
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References listed on IDEAS
- Kenneth J. Singleton & Len Umantsev, 2002. "Pricing Coupon-Bond Options And Swaptions In Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 427-446.
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More about this item
KeywordsCredit risk; Credit migration model; Defaultable bonds; Credit default swaps; Options on defaultable bonds;
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