"Fast Pricing of Basket Default Swaps."

Zhiyong Chen, Paul Glasserman (2008)

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DOI: 10.1287/OPRE.1070.0456

access: closed

type: Journal Article

metadata version: 2020-03-31

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Zhiyong Chen, Paul Glasserman:
Fast Pricing of Basket Default Swaps. Oper. Res. 56(2): 286-303 (2008)

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