A double obstacle model for pricing bi-leg defaultable interest rate swaps (Q5056713)
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scientific article; zbMATH DE number 7629633
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A double obstacle model for pricing bi-leg defaultable interest rate swaps |
scientific article; zbMATH DE number 7629633 |
Statements
A double obstacle model for pricing bi-leg defaultable interest rate swaps (English)
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8 December 2022
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free boundary
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double obstacle variational inequality
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interest rate swap
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bi-leg defaultable
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structure and intensity model
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Black-Scholes operator
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