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

CHEN Zheng-sheng;QIN Xue-zhi

Systems Engineering - Theory & Practice ›› 2011, Vol. 31 ›› Issue (6) : 993-1003.

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中国科学院数学与系统科学研究院期刊网
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Systems Engineering - Theory & Practice ›› 2011, Vol. 31 ›› Issue (6) : 993-1003. DOI: 10.12011/1000-6788(2011)6-993
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The valuation of swaption with counterparty risk under a multi-factor time-varying Markov chain model

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2011, 31(6): 993-1003 https://doi.org/10.12011/1000-6788(2011)6-993

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