A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL

DOI10.1142/S0219024912500537zbMath1260.91250OpenAlexW1974166963MaRDI QIDQ4909138

Aurélien Alfonsi, Jérôme Lelong

Publication date: 12 March 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500537

zbMATH Keywords

credit riskhybrid modelParisian optionsstructural modelintensity modelBlack-Cox modelParAsian options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• A jump to default extended CEV model: an application of Bessel processes
• Default risk, bankruptcy procedures and the market value of life insurance liabilities
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Brownian Excursions and Parisian Barrier Options
• Credit risk: Modelling, valuation and hedging

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