On pricing basket credit default swaps

Jia Wen Gu^*, Wai Ki Ching, Tak Kuen Siu, Harry Zheng

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

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@article{7327e25edfa74b76960e0551ac968215,

title = "On pricing basket credit default swaps",

author = "Gu, {Jia Wen} and Ching, {Wai Ki} and Siu, {Tak Kuen} and Harry Zheng",

year = "2013",

doi = "10.1080/14697688.2013.783713",

language = "English",

volume = "13",

pages = "1845--1854",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Routledge, Taylor and Francis Group",

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AU - Gu, Jia Wen

AU - Ching, Wai Ki

AU - Siu, Tak Kuen

AU - Zheng, Harry

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DO - 10.1080/14697688.2013.783713

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VL - 13

SP - 1845

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JO - Quantitative Finance

JF - Quantitative Finance

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