A Simulation-Based First-to-Default (FtD) Credit Default Swap (CDS) Pricing Approach under Jump-Diffusion

Tarja Joro, Anne R. Niu, Paul Na. A Simulation-Based First-to-Default (FtD) Credit Default Swap (CDS) Pricing Approach under Jump-Diffusion. In Winter Simulation Conference. pages 1632, 2004. [doi]

Abstract

Abstract is missing.