Exercise 16.12 In Example 16.3, suppose that the hazard rates are modeled by the Vasicek model as
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Exercise 16.12 In Example 16.3, suppose that the hazard rates are modeled by the Vasicek model as in Exercise 16.9. Obtain the CDS premium in closed form. How about the case where the hazard rates are modeled by the CIR model as in Exercise 16.10
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Related Book For 
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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