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"Pricing credit default swaps with bilateral counterparty risk in a reduced ..."

Xue Liang, Guojing Wang, Hong Li (2014)

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DOI: 10.1016/J.AMC.2013.12.115

access: closed

type: Journal Article

metadata version: 2020-02-21

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Xue Liang, Guojing Wang, Hong Li:
Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching. Appl. Math. Comput. 230: 290-302 (2014)

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