A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives

B-Tier

Journal: Management Science

Year: 2000

Volume: 46

Issue: 1

Pages: 46-62

Authors (2)

Sanjiv Ranjan Das (Santa Clara University) Rangarajan K. Sundaram (not in RePEc)

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count