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A revised version of the Cathcart & El-Jahel model and its application to CDS market |
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| Authors: | Radi,Davide,Hoang,Vu Phuong,Torri, Gabriele,Dvo&# &# &# kov&# , Hana |
| Affiliation: | Radi,Davide,Hoang,Vu Phuong,Torri, Gabriele,Dvořáčková, Hana |
| Abstract: | Decisions in Economics and Finance - The paper considers the pricing of credit default swaps (CDSs) using a revised version of the credit risk model proposed in Cathcart and El-Jahel (2003).... |
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