Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks (Q517945)
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scientific article; zbMATH DE number 6697479
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks |
scientific article; zbMATH DE number 6697479 |
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Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks (English)
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28 March 2017
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common shock model
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counterparty risk
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double-name credit-linked note
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partial differential equation
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