Pricing CDOs with state-dependent stochastic recovery rates

Salah Amraoui, Laurent Cousot, Sebastien Hitier and Jean-Paul Laurent ()
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Salah Amraoui: BNP Paribas
Laurent Cousot: Global Markets Quantitative Research - BNP Paribas
Sebastien Hitier: Global Markets Quantitative Research - BNP Paribas

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Date: 2012-08
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Published in Quantitative Finance, 2012, 12 (8), pp.1219-1240. ⟨10.1080/14697688.2012.663925⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679461

DOI: 10.1080/14697688.2012.663925

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