Structural pricing of CoCos and deposit insurance with regime switching and jumps

DOI10.1007/S10690-020-09304-6zbMATH Open1467.91200OpenAlexW2806313491MaRDI QIDQ2036863FDOQ2036863

Xiaoshan Su, Olivier Le Courtois

Publication date: 30 June 2021

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-020-09304-6

zbMATH Keywords

regime switchingdeposit insurancefirst passage timejump-diffusionstructural modelmatrix Wiener-Hopf factorizationCoCosesscher transform

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Jump processes on discrete state spaces (60J74)

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Cited In (3)

• Interval pricing study of deposit insurance in China
• A self-exciting switching jump diffusion: properties, calibration and hitting time
• On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes

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