A multinomial tree model for pricing credit default swap options

DOI10.1007/s00180-010-0212-6zbMath1304.65022OpenAlexW1972411269MaRDI QIDQ2513334

Yi-Ping Chang, Yi-Chen Ko, Ming-Chin Hung

Publication date: 28 January 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-010-0212-6

zbMATH Keywords

credit default swapmoment matchingoption multinomial tree

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Pricing mining concessions based on combined multinomial pricing model

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Mathematical models of financial derivatives
• A two-step simulation procedure to analyze the exercise features of American options
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Option pricing: A simplified approach

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