"Hedging of a credit default swaption in the CIR default intensity model."

Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski (2011)

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DOI: 10.1007/S00780-010-0143-7

access: closed

type: Journal Article

metadata version: 2020-07-22

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Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski:
Hedging of a credit default swaption in the CIR default intensity model. Finance Stochastics 15(3): 541-572 (2011)

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