Explicit formulas for pricing credit-linked notes with counterparty risk under reduced-form framework

DOI10.1093/imaman/dpt028zbMath1433.91186OpenAlexW2137808885MaRDI QIDQ5382667

Lei Ge, Xiao-Song Qian, Xing Ye Yue

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpt028

zbMATH Keywords

CVAreduced-formcredit-linked note

Mathematics Subject Classification ID

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

Related Items (3)

Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model ⋮ Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks ⋮ Counterparty risk valuation on credit-linked notes under a Markov chain framework

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