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20082011
most citedImpact of the first to default time on Bilateral CVA

6 citations · 11 across the 3 of their papers we have counts for

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q-fin.CP2008

Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis

Massimo Morini, Damiano Brigo

In this work we consider three problems of the standard market approach to pricing of credit index options: the definition of the index spread is not valid in general, the usually…