Two frameworks for pricing defaultable derivatives

DOI10.1016/j.chaos.2019.04.025zbMath1448.91304OpenAlexW2940049593MaRDI QIDQ2213633

Tsvetelin S. Zaevski, Mladen Svetoslavov 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

zbMATH Keywords

defaultasset pricingstopping timesderivative pricingrisk-neutral measureconvertible bonds

Mathematics Subject Classification ID

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

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Cites Work

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