A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Press)
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More about this item
Keywordssovereign CDS pricing; reduced-form credit risk model; Black-Karasinski; implicit .nite di¤erence method; maximum likelihood estimation.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-24 (All new papers)
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