Semi-analytical Formula for Pricing Bilateral Counterparty Risk of CDS with Correlated Credit Risks

Feng LIN, Si-yuan XIE, Jing-ping YANG

应用数学学报(英文版) ›› 2018, Vol. 34 ›› Issue (2) : 209-236.

中国科学院数学与系统科学研究院期刊网
应用数学学报(英文版) ›› 2018, Vol. 34 ›› Issue (2) : 209-236. DOI: 10.1007/s10255-018-0756-8
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Semi-analytical Formula for Pricing Bilateral Counterparty Risk of CDS with Correlated Credit Risks

    Feng LIN1, Si-yuan XIE1, Jing-ping YANG2
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Semi-analytical Formula for Pricing Bilateral Counterparty Risk of CDS with Correlated Credit Risks

    Feng LIN1, Si-yuan XIE1, Jing-ping YANG2
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{{article.zuoZheCn_L}}. {{article.title_cn}}. {{journal.qiKanMingCheng_CN}}, 2018, 34(2): 209-236 https://doi.org/10.1007/s10255-018-0756-8
{{article.zuoZheEn_L}}. {{article.title_en}}. {{journal.qiKanMingCheng_EN}}, 2018, 34(2): 209-236 https://doi.org/10.1007/s10255-018-0756-8
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