On pricing basket credit default swaps

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu and Harry Zheng

Quantitative Finance, 2013, vol. 13, issue 12, 1845-1854

Date: 2013
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Working Paper: On Pricing Basket Credit Default Swaps (2012)
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DOI: 10.1080/14697688.2013.783713

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