多因素时变Markov链模型下考虑信用风险的互换期权定价

陈正声;秦学志

The valuation of swaption with counterparty risk under a multi-factor time-varying Markov chain model

CHEN Zheng-sheng;QIN Xue-zhi

系统工程理论与实践 . 2011, (6): 993 -1003 . DOI: 10.12011/1000-6788(2011)6-993