Research Article
Basket Credit Derivative Pricing in a Markov Chain Model with Interacting Intensities
Table 2
The premium rates of the
th-to-default CLN.
| kth | Premium rate (%) |
| 1st | 64.9980 | 2nd | 33.4078 | 3rd | 21.3288 | 4th | 17.3264 | 5th | 12.6668 | 6th | 8.4503 | 7th | 5.8347 | 8th | 4.9583 | 9th | 4.0034 | 10th | 4.00000853 |
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