A refracted process in options: a credit valuation application

DOI10.1016/J.ECONLET.2025.112276MaRDI QIDQ6957311zbMATH OpenFDO

Authors Andrew Clare, Carlos Manuel Pinheiro, Alberto Franco Pozzolo, João Miguel Reis

Publication date 16 July 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2025.112276

zbMATH Keywords

bondsloansoptionsregime-shift

Mathematics Subject Classification ID

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

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump to default extended CEV model: an application of Bessel processes
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
• Corporate bond pricing model with stochastically volatile firm value process
• Option pricing under regime-switching jump-diffusion models
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
• The pricing of options and corporate liabilities

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