Serge Resnick

Independent

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The GARCH Linear SDE: Explicit Formulas and the Pricing of a Quanto CDS

Number of pages: 18 Posted: 25 Jun 2018
Minqiang Li, Fabio Mercurio and Serge Resnick
Bloomberg LP, Bloomberg L.P. and Independent
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Abstract:

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linear SDE, chaos expansion, PDE, perturbation approach, quanto CDS