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]

Authors

Tarja Joro

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Anne R. Niu

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Paul Na

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