Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads (Q763417)
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scientific article; zbMATH DE number 6013636
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| English | Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads |
scientific article; zbMATH DE number 6013636 |
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Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads (English)
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9 March 2012
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Pricing models of credit derivatives within the credit rating models with stochastically varying credit spread are constructed in a Markovian credit migration model. The credit risk models under consideration are credit default swaps and options on defaultable bonds. Closed-form asymptotic representation formulas are obtained.
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credit risk
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credit migration model
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defaultable bonds
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credit default swpas
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options on defaultable bonds
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0.8693838715553284
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0.7910749316215515
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0.7788174152374268
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0.7750571370124817
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0.7748584747314453
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