Introducing fuzziness in CDS pricing under a structural model

DOI10.1155/2018/6363474zbMath1427.91283OpenAlexW2806095967WikidataQ129747195 ScholiaQ129747195MaRDI QIDQ1721233

Xianqiang Yang

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/6363474

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

Related Items (2)

Basket credit default swap pricing with two defaultable counterparties ⋮ Credit default swap pricing with counterparty risk in a reduced form model with a common jump process

Cites Work

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• On the single name CDS price under structural modeling
• The total return swap pricing model under fuzzy random environments
• First passage times of a jump diffusion process
• Fuzzy sets

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