A structural approach to pricing credit default swaps with credit and debt value adjustments
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References listed on IDEAS
- Hua He & William P. Keirstead & Joachim Rebholz, 1998. "Double Lookbacks," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 201-228.
- Zhou, Chunsheng, 2001. "An Analysis of Default Correlations and Multiple Defaults," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 555-576.
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