A double obstacle model for pricing bi-leg defaultable interest rate swaps

DOI10.1017/S0956792519000184zbMath1504.35572WikidataQ127298466 ScholiaQ127298466MaRDI QIDQ5056713

Xinfu Chen, Jin Liang

Publication date: 8 December 2022

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0956792519000184

zbMATH Keywords

free boundary; Black-Scholes operator; interest rate swap; double obstacle variational inequality; bi-leg defaultable; structure and intensity model

Mathematics Subject Classification ID

35K85: Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators

91G20: Derivative securities (option pricing, hedging, etc.)

35R35: Free boundary problems for PDEs

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

Cites Work

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• Credit risk: Modelling, valuation and hedging