An extension of CreditGrades model approach with Lévy processes

DOI10.1080/14697681003777089zbMath1277.91175MaRDI QIDQ2866399

Yuji Umezawa, Akira Yamazaki, Daisuke Yoshikawa, Takaaki Ozeki

Publication date: 13 December 2013

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

Full work available at URL: https://doi.org/10.1080/14697681003777089

zbMATH Keywords

Wiener-Hopf factorization; Lévy process; credit default swap; CreditGrades model; equity option

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

Related Items

CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS, EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY

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