Local volatility enhanced by a jump to default

DOI10.1137/090750731MaRDI QIDQ3402357zbMATH OpenOpenAlexFDO

Authors Peter Carr, Dilip B. Madan

Publication date 3 February 2010

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/7bff9c9085c38d1fdf55bd0b87be255cf8c36dda

zbMATH Keywords

default adjusted driftsrecovering default free option pricestruncated power pricesWeibull distribution

Mathematics Subject Classification ID

Stochastic processes (60G99) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(10)

• Local volatility and the recovery rate of credit default swaps
• Pricing vulnerable claims in a Lévy-driven model
• A family of density expansions for Lévy-type processes
• A unified approach to pricing and risk management of equity and credit risk
• Transform analysis for point processes and applications in credit risk
• Pricing derivatives with counterparty risk and collateralization: a fixed point approach
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• A Lévy-driven asset price model with bankruptcy and liquidity risk
• Pricing equations in jump-to-default models
• Pricing European vanilla options under a jump-to-default threshold diffusion model

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