Work

Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models

Year: 2005

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.663425

Author: Allan Mortensen

Institution: Copenhagen Business School

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2045394289

Cites: 31

Cited by: 29

Related to: 10