"Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap ..."

Yao Tung Huang, Qingshuo Song, Harry Zheng (2017)

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DOI: 10.1137/15M1052329

access: closed

type: Journal Article

metadata version: 2024-02-05

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Yao Tung Huang, Qingshuo Song, Harry Zheng:
Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk. SIAM J. Financial Math. 8(1): 1-27 (2017)

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