Pricing model of interest rate swap with a bilateral default risk (Q964973)
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scientific article; zbMATH DE number 5696599
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| default for all languages | No label defined |
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| English | Pricing model of interest rate swap with a bilateral default risk |
scientific article; zbMATH DE number 5696599 |
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Pricing model of interest rate swap with a bilateral default risk (English)
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21 April 2010
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interest rate swap
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default risk
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Crank-Nicholson difference method
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Feynman-Kac formula
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0.876667857170105
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0.817177414894104
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0.8137973546981812
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0.8075637817382812
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