Quantum path integrals for default intensity models
A method to price credit derivatives via default intensity approximation is presented
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Using the path-integral formalism, Ryan Parker, Mark Stedman and Luca Capriotti develop an accurate and easy-to-compute semi-analytical approximation for a general class of default intensity models. They illustrate the accuracy of the method by presenting results for the Black-Karasinski model, for which the proposed approximation provides remarkably accurate results
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