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Pricing model of interest rate swap with a bilateral default risk.

Xiaofeng YangJinping YuShenghong LiAlbert Jerry CristoforoXiaohu Yang
Published in: J. Comput. Appl. Math. (2010)
Keyphrases
  • intelligent systems
  • pricing model
  • bi level
  • convertible bonds
  • risk factors
  • dynamic pricing
  • real option
  • risk management
  • empirical analysis
  • data mining
  • supply chain
  • steady state
  • stock price
  • risk analysis
  • black scholes