Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
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Publication:517945
DOI10.1016/j.jmaa.2017.01.077zbMath1360.91148WikidataQ115346006 ScholiaQ115346006MaRDI QIDQ517945
Publication date: 28 March 2017
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2017.01.077
partial differential equation; counterparty risk; common shock model; double-name credit-linked note