Basket Credit Default Swap Pricing with Two Defaultable Counterparties

In this paper, we study the basket CDS pricing with two defaultable counterparties based on the reduced-form model. The default jump intensities of the reference firms and counterparties are all assumed to follow the mean-reverting constant elasticity of variance (CEV) processes. Taking the Vasicek...

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Bibliographic Details
Main Authors: Yu Chen, Yu Xing
Format: Article
Language:English
Published: Hindawi Limited 2022-01-01
Series:Discrete Dynamics in Nature and Society
Online Access:http://dx.doi.org/10.1155/2022/3844001