Empirical analysis and calibration of the CEV process for pricing equity default swaps

DOI10.1080/14697680903547915zbMATH Open1277.91180OpenAlexW2022508150MaRDI QIDQ2866396FDOQ2866396

Authors: Tang Pan, Jitendra Bhanap, Belal E. Baaquie 

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903547915

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zbMATH Keywords

Monte Carlo simulationCEV processcredit default swapsequity default swapsprobability of default

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Systematic equity-based credit risk: A CEV model with jump to default

Cited In (4)

• Pricing equity default swaps under the jump-to-default extended CEV model
• Path dependence and biases in the even swaps decision analysis method
• Efficient Monte Carlo option pricing under CEV model
• The value of the ‘swap’ feature in equity default swaps

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