Swap Pricing with Two-Sided Default Risk in a Rating-Based Model *

DOI10.1023/A:1009845829179zbMath0960.91027MaRDI QIDQ4526194

Brian Huge, David Lando

Publication date: 11 May 2001

Published in: Review of Finance (Search for Journal in Brave)

zbMATH Keywords

numerical methodsdefault riskratingswap spreadtwo-sided default

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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