Basket CDS pricing with interacting intensities

Harry Zheng () and Lishang Jiang ()

Finance and Stochastics, 2009, vol. 13, issue 3, 445-469

Keywords: Factor contagion model; Basket CDS; Analytic pricing formula; Counterparty risk; Stochastic intensity; 60J75; 65C20; 91B28; C63 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s00780-009-0091-2

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