A dynamic programming approach for pricing CDS and CDS options
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- Hatem Ben-Ameur & MichÃ¨le Breton, 2004. "A Dynamic Programming Approach for Pricing Options Embedded in Bonds," Computing in Economics and Finance 2004 237, Society for Computational Economics.
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KeywordsCredit derivatives; Credit default swaps; Bermudan options; Dynamic programming; Doubly stochastic Poisson process; Cox process;
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