Pricing Credit Default Swaps Bermudan Options: An Approximate Dynamic Programming Approach

Damiano Brigo, E Errais, H Ben Ameur

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

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@article{49e9c6c579b94790b1f18e404f1b92cc,

title = "Pricing Credit Default Swaps Bermudan Options: An Approximate Dynamic Programming Approach",

author = "Damiano Brigo and E Errais and {Ben Ameur}, H",

year = "2009",

language = "English",

volume = "9",

pages = "717 -- 726",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Taylor and Francis Ltd.",

}