Valuation Of Credit Linked Note With Counterparty Credit Risk In The Framework Of Markov Chain Model

In the framework of Markov Chain model,this paper discusses the valuation of credit linked notes in two cases : with counterparty credit risk and without counterparty credit risk. Assuming the transition density matrix satisfies the condition Markov copula,we discuss double first default CLN and double second default CLN without credit risk. We get the continuous times dynamic price and the corresponding PDE equations,and give the the solution of PDE.