Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market

DOI10.1007/s11424-015-3147-8zbMath1332.91110OpenAlexW2346270018MaRDI QIDQ256747

Rongxi Zhou, Sinan Du, Mei Yu, Feng-mei Yang

Publication date: 10 March 2016

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-015-3147-8

zbMATH Keywords

pricingcredit spread optionGARCH modelLongstaff-Schwartz model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The effect of corporate governance on debt financing cost of listed companies

Cites Work

• Pricing options with credit risk in a reduced form model
• Pricing CDO tranches in an intensity based model with the mean reversion approach
• Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
• Closed-form solutions for pricing credit-risky bonds and bond options
• On pricing of credit spread options
• American option pricing under GARCH diffusion model: an empirical study
• The pricing of credit risk derivatives
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• A fractional credit model with long range dependent default rate
• Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
• On a reduced form credit risk model with common shock and regime switching

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