Basket credit default swap pricing with two defaultable counterparties

DOI10.1155/2022/3844001zbMath1490.91211OpenAlexW4221010779MaRDI QIDQ2122272

Yanyan Li

Publication date: 6 April 2022

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2022/3844001

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Credit events and the valuation of credit derivatives of basket type
• On Cox processes and credit risky securities
• A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
• Basket CDS pricing with interacting intensities
• Pricing credit default swaps under a multi-scale stochastic volatility model
• Introducing fuzziness in CDS pricing under a structural model
• A contagion model with Markov regime-switching intensities
• On the single name CDS price under structural modeling
• Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk
• Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
• Pricing Interest-Rate-Derivative Securities

This page was built for publication: Basket credit default swap pricing with two defaultable counterparties