A Monte-Carlo based approach for pricing credit default swaps with regime switching

DOI10.1016/J.CAMWA.2018.07.027MaRDI QIDQ2293596zbMATH OpenOpenAlexWikidataFDO

Authors Xin-Jiang He, Wen-Ting Chen

Publication date 5 February 2020

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2018.07.027

zbMATH Keywords

credit default swapdown-and-out binary optionMonte Carloregime switchingtime-dependent Black-Scholes equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• An analytical approximation formula for the pricing of credit default swaps with regime switching
• Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
• The pricing of credit default swaps under a Markov-modulated Merton's structural model
• Pricing credit derivatives under a correlated regime-switching hazard processes model
• Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities

Cites work

• `Finem Lauda' or the risks in swaps
• A simple approach for pricing barrier options with time-dependent parameters
• Analysis of time series subject to changes in regime
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• On Cox processes and credit risky securities
• Pricing credit default swaps under a multi-scale stochastic volatility model
• Pricing the risks of default

Cited in

(12)

• Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
• A regime switching fractional Black-Scholes model and European option pricing
• An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.
• A multinomial tree model for pricing credit default swap options
• Pricing of credit default swap based on credit rating
• Effects of regime switching on pricing credit options in a shifted CIR model
• The pricing of credit default swaps under a Markov-modulated Merton's structural model
• A credit default swap application by using quantile regression technique
• Pricing credit default swaps with Parisian and Parasian default mechanics
• An analytical approximation formula for the pricing of credit default swaps with regime switching
• PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
• A recursive method for fractional Hawkes intensities and the potential approach of credit risk

This page was built for publication: A Monte-Carlo based approach for pricing credit default swaps with regime switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2293596)