Pricing model of interest rate swap with a bilateral default risk (Q964973): Difference between revisions
From MaRDI portal
Removed claims |
Changed an Item |
||
Property / author | |||
Property / author: Xiao-Feng Yang / rank | |||
Normal rank | |||
Property / author | |||
Property / author: Sheng-Hong Li / rank | |||
Normal rank |
Revision as of 12:39, 13 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Pricing model of interest rate swap with a bilateral default risk |
scientific article |
Statements
Pricing model of interest rate swap with a bilateral default risk (English)
0 references
21 April 2010
0 references
interest rate swap
0 references
default risk
0 references
Crank-Nicholson difference method
0 references
Feynman-Kac formula
0 references