"Pricing CDS index tranches under thinning-dependence structure with regime ..."

Wanrong Mu, Sung Nok Chiu, Guojing Wang (2024)

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DOI: 10.1016/J.CAM.2024.116080

access: closed

type: Journal Article

metadata version: 2024-08-09

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Wanrong Mu, Sung Nok Chiu, Guojing Wang:
Pricing CDS index tranches under thinning-dependence structure with regime switching. J. Comput. Appl. Math. 451: 116080 (2024)

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