"Pricing CDO tranches in an intensity based model with the mean reversion ..."

Jiang-Lun Wu, Wei Yang (2010)

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DOI: 10.1016/J.MCM.2010.05.012

access: open

type: Journal Article

metadata version: 2021-02-17

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Jiang-Lun Wu, Wei Yang:
Pricing CDO tranches in an intensity based model with the mean reversion approach. Math. Comput. Model. 52(5-6): 814-825 (2010)

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