Basket CDS pricing with interacting intensities

DOI10.1007/s00780-009-0091-2zbMath1195.91152OpenAlexW2041539236MaRDI QIDQ964685

Harry Zheng, Li-Shang Jiang

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/18531

zbMATH Keywords

counterparty riskstochastic intensityanalytic pricing formulabasket CDSfactor contagion model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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