A double obstacle model for pricing bi-leg defaultable interest rate swaps
DOI10.1017/S0956792519000184zbMath1504.35572WikidataQ127298466 ScholiaQ127298466MaRDI QIDQ5056713
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
free boundary; Black-Scholes operator; interest rate swap; double obstacle variational inequality; bi-leg defaultable; structure and intensity model
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
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