| Bilateral Counterparty Risk Valuation for CDS in a Contagion Model Using Markov Chain |
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Dong Yinghui 1,Wang Guojing 2 #
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1.Department of Mathematics, Suzhou University of Science and Technology, Suzhou 215011
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2.Center for Financial Engineering and Department of Mathematics, Soochow University, Suzhou 215006
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| *Correspondence author |
| #Submitted by |
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| Funding:
The Research Fund for the Doctoral Program of Higher Education of China （No.No. 20093201110013） |
| Opened online:14 December 2012 |
| Accepted by:
none |
| Citation: Dong Yinghui,Wang Guojing.Bilateral Counterparty Risk Valuation for CDS in a Contagion Model Using Markov Chain[OL]. [14 December 2012] http://en.paper.edu.cn/en_releasepaper/content/4502104 |
