Journal of Mathematical Finance

Vol.7 No.3(2017), Paper ID 78080, 17 pages

DOI:10.4236/jmf.2017.73036

 

CVA under Bates Model with Stochastic Default Intensity

 

Yaqin Feng

 

Department of Mathematics, Ohio University, Athens, USA

 

Copyright © 2017 Yaqin Feng 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

Feng, Y. (2017) CVA under Bates Model with Stochastic Default Intensity. Journal of Mathematical Finance, 7, 682-698. doi: 10.4236/jmf.2017.73036.
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