A fully non-linear PDE problem from pricing CDS with counterparty risk
DOI10.3934/DCDSB.2012.17.2001zbMATH Open1250.35168OpenAlexW2004101744WikidataQ116009490 ScholiaQ116009490MaRDI QIDQ449295FDOQ449295
Authors: Bei Hu, Lishang Jiang, Jin Liang, Wei Wei 
Publication date: 12 September 2012
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2012.17.2001
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PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial applications of other theories (91G80) Initial-boundary value problems for nonlinear higher-order PDEs (35G31)
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