Pricing CDS index tranches under thinning-dependence structure with regime switching

Wanrong Mu, Sung Nok Chiu, Guojing Wang. Pricing CDS index tranches under thinning-dependence structure with regime switching. J. Computational Applied Mathematics, 451:116080, 2024. [doi]

Authors

Wanrong Mu

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Sung Nok Chiu

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Guojing Wang

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