Faculty of Business and Economics, Macquarie University, Sydney, Australia
Department of Financial Mathematics, Shanghai Finance University, Shanghai, China
School of Mathematics, Shanghai University of Finance and Economics, Shanghai, China
Copyright © 2016 Yinglin Liu, Ruili Hao, Zuhua Wang et al. This is
an open access article distributed under the Creative Commons Attribution
License, which permits unrestricted use, distribution, and reproduction in any
medium, provided the original work is properly cited.
How to Cite this Article
Liu, Y. , Hao, R. and Wang, Z. (2016) Pricing Loan CDS with Vasicek Interest Rate under the Contagious Model.
Journal of Mathematical Finance,
6, 416-430. doi:
10.4236/jmf.2016.63033.