TY  - JOUR
AU  - Das,Sanjiv R.
AU  - Sundaram,Rangarajan K.
TI  - A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6635
PY  - 1998
Y2  - July 1998
UR  - http://www.nber.org/papers/w6635
L1  - http://www.nber.org/papers/w6635.pdf
N1  - Author contact info:
Sanjiv Das
Dept. of Finance
Santa Clara University
321E Lucas Hall, 500 El Camino Real
Santa Clara, CA 95053
E-Mail: srdas@scu.edu
AB  - 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.
ER  -