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

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

Acta Mathematicae Applicatae Sinica(English Series) ›› 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
Acta Mathematicae Applicatae Sinica(English Series) ›› 2018, Vol. 34 ›› Issue (2) : 209-236. DOI: 10.1007/s10255-018-0756-8
ARTICLES

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

  • {{article.zuoZhe_EN}}
Author information +
History +

HeighLight

{{article.keyPoints_en}}

Abstract

{{article.zhaiyao_en}}

Key words

QR code of this article

Cite this article

EndNote

Ris (Procite)

Bibtex

Download Citations
{{article.zuoZheEn_L}}. {{article.title_en}}. Acta Mathematicae Applicatae Sinica(English Series), 2018, 34(2): 209-236 https://doi.org/10.1007/s10255-018-0756-8

References

Publishing order | Descend order by publishing year | Descend order by cited within

References

{{article.reference}}

Funding

RIGHTS & PERMISSIONS

{{article.copyrightStatement_en}}
{{article.copyrightLicense_en}}

Accesses

Citation

Detail
Sections
Recommended

/

〈 〉