Chih-Wei Lee, Cheng-Kun Kuo. A Modification to the Copula Approach for Pricing Correlation-Dependent Credit Derivatives. In Proceedings of the 2006 Joint Conference on Information Sciences, JCIS 2006, Kaohsiung, Taiwan, ROC, October 8-11, 2006. Atlantis Press, 2006. [doi]
@inproceedings{LeeK06:37,
title = {A Modification to the Copula Approach for Pricing Correlation-Dependent Credit Derivatives},
author = {Chih-Wei Lee and Cheng-Kun Kuo},
year = {2006},
doi = {10.2991/jcis.2006.27},
url = {http://dx.doi.org/10.2991/jcis.2006.27},
tags = {systematic-approach},
researchr = {https://researchr.org/publication/LeeK06%3A37},
cites = {0},
citedby = {0},
booktitle = {Proceedings of the 2006 Joint Conference on Information Sciences, JCIS 2006, Kaohsiung, Taiwan, ROC, October 8-11, 2006},
publisher = {Atlantis Press},
isbn = {90-78677-01-5},
}