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5. Convergence on Approximated Pricing of Basket CDS with Counterparty Risk

Convergence on Approximated Pricing of Basket CDS with Counterparty Risk

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：COMMA87730030

【摘 要】

：

　　In this paper we derive the sufficient conditions for the convergence of the approximation of the basket CDS price via the weak convergence method.

【作 者】

：

Song Qingshuo 

【机 构】

：

City Univ.of Hong Kong

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　In this paper we derive the sufficient conditions for the convergence of the approximation of the basket CDS price via the weak convergence method.

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