A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk

Author: Dong Yinghui   Yuen Kam C.   Wu Chongfeng  

Publisher: Taylor & Francis Ltd

ISSN: 0736-2994

Source: Stochastic Analysis and Applications, Vol.32, Iss.4, 2014-07, pp. : 687-710

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