Pricing of Basket CDS with Bilateral Default Risk under Vasicek Model with Circular Contagion

Table 1

Comparison of the CDS prices derived from formula and that from Monte Carlo simulation.

	Derived from formula	Monte Carlo simulation	Difference ()
0.02	0.079434557529215	0.079563811485343	0.16
0.04	0.096456696001339	0.096584711351616	0.13
0.06	0.111541239349105	0.111715276852896	0.16
0.08	0.124984862630830	0.125140481101890	0.12
0.10	0.137021957637043	0.137163433908681	0.10

Parameters values are .