@techreport{NBERw6635,
 title = "A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives",
 author = "Sanjiv R. Das and Rangarajan K. Sundaram",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "6635",
 year = "1998",
 month = "July",
 URL = "http://www.nber.org/papers/w6635",
 abstract = {This paper develops a model for the pricing of credit derivatives using observables.  The model  (i) is arbitrage-free, (ii) accommodates path-dependence, and (iii) handles a range of securities, even with American features.  The computer implementation uses a recursive scheme that is convenient and seamlessly processes forward induction and backward recursion, needed to compute more complicated derivative securities.},
}