An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model

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@article{b9727b67442c486faef3253e81ab7c63,

title = "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model",

author = "Damiano Brigo and N El-Bachir",

year = "2010",

month = jul,

language = "English",

volume = "20",

pages = "365 -- 382",

journal = "MATHEMATICAL FINANCE",

publisher = "Wiley-Blackwell",

number = "3",

}