Semi-analytic pricing formulas for basket credit-linked notes with and without counterparty risks
This paper discusses the pricing of basket credit linked notes (BCLN) under the reduced model. Three types of BCLNs are discussed: the first, the second and the mth-to-default BCLNs with and without counterparty risks. Based on conditional independence, the joint distribution of default times can be...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2020-01-01
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| Series: | Systems Science & Control Engineering |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/21642583.2020.1851804 |