Two frameworks for pricing defaultable derivatives

DOI10.1016/J.CHAOS.2019.04.025zbMATH Open1448.91304OpenAlexW2940049593MaRDI QIDQ2213633FDOQ2213633

Tsvetelin S. Zaevski, Mladen Savov, Ognyan Kounchev

Publication date: 2 December 2020

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2019.04.025

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zbMATH Keywords

defaultstopping timesasset pricingderivative pricingrisk-neutral measureconvertible bonds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (2)

• PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
• Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation

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