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"Variance Swaps on Defaultable Assets and Market Implied Time-Changes."
Matthew Lorig, Oriol Lozano-Carbassé, Rafael Mendoza-Arriaga (2016)
- Matthew Lorig, Oriol Lozano-Carbassé, Rafael Mendoza-Arriaga:
Variance Swaps on Defaultable Assets and Market Implied Time-Changes. SIAM J. Financial Math. 7(1): 273-307 (2016)
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