Semi-analytical Formula for Pricing Bilateral Counterparty Risk of CDS with Correlated Credit Risks
Crossref DOI link: https://doi.org/10.1007/s10255-018-0756-8
Published Online: 2018-04-26
Published Print: 2018-03
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Lin, Feng
Xie, Si-yuan
Yang, Jing-ping
Text and Data Mining valid from 2018-03-01
Article History
Received: 15 April 2016
Revised: 9 January 2017
First Online: 26 April 2018