Flexing the default barrier
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Publication:2866385
DOI10.1080/14697688.2010.481633zbMATH Open1277.91183OpenAlexW2117093803MaRDI QIDQ2866385FDOQ2866385
Authors: Paul Schneider, Tanja Veža, Gregor Dorfleitner 
Publication date: 13 December 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://epub.uni-regensburg.de/13465/1/SSRN-id1343513.pdf
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)
Cites Work
- Title not available (Why is that?)
- Approximations of boundary crossing probabilities for a Brownian motion
- Boundary crossing probability for Brownian motion
- Interest rate models -- theory and practice. With smile, inflation and credit
- Crossing probabilities for diffusion processes with piecewise continuous boundaries
- Boundary crossing probability for Brownian motion and general boundaries
- Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
- Analytic crossing probabilities for certain barriers by Brownian motion
- Optimal capital structure and endogenous default
- Default and information
- On an integral equation for first-passage-time probability densities
- Approximation Greenscher Funktionen bei parabolischen Differentialgleichungen. (Approximation of Green's functions for parabolic differential equations)
- Pricing options with Green's functions when volatility, interest rate and barriers depend on time
- A Structural Model with Unobserved Default Boundary
- On evaluations and asymptotic approximations of first-passage-time probabilities
Cited In (9)
- Restructuring risk in credit default swaps: an empirical analysis
- Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
- Computation of multivariate barrier crossing probability and its applications in credit risk models
- Estimating default barriers from market information
- A closed-form extension to the Black-Cox model
- A revised version of the Cathcart \& El-Jahel model and its application to CDS market
- Pricing credit derivatives with a structural default model
- HEDGING DOUBLE BARRIERS WITH SINGLES
- Calibrating structural models: a new methodology based on stock and credit default swap data
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