Min Huang

University of Chicago

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Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling

FEDS Working Paper No. 2013-14
Number of pages: 40 Posted: 09 Apr 2013
Ohio State University (OSU), Federal Reserve Board, University of Chicago and Board of Governors of the Federal Reserve System
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Abstract:

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Stochastic time change, default intensity, credit risk, CDS options