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Pricing contingent claims with credit risk: Asymptotic expansion approach |
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| Authors: | Yoshifumi Muroi |
| Institution: | (1) Graduate School of Economics, University of Tokyo, Bunkyo-ku, Hongo 7-3-1, 113-8654 Tokyo, Japan |
| Abstract: | |
| Keywords: | Defaultable bond asymptotic expansion approach spot interest rate hazard rate process credit defaultable swaps options on defaultable bonds |
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