Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads

Yoshifumi Muroi and E. Takino

Asia-Pacific Financial Markets, 2011, vol. 18, issue 4, 345-372

Keywords: Credit risk; Credit migration model; Defaultable bonds; Credit default swaps; Options on defaultable bonds (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10690-010-9134-0

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