Pricing credit default swap based on conditional Monte Carlo method

DENG Yang, HE Xubiao

Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (8) : 2043-2051.

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Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (8) : 2043-2051. DOI: 10.12011/1000-6788(2017)08-2043-09

Pricing credit default swap based on conditional Monte Carlo method

  • DENG Yang1, HE Xubiao2
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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2017, 37(8): 2043-2051 https://doi.org/10.12011/1000-6788(2017)08-2043-09

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