DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK

DOI10.1111/j.1467-9965.2008.00345.xzbMath1214.91123OpenAlexW2074732776MaRDI QIDQ3005840

Marek Rutkowski, Stéphane Crépey, Tomasz R. Bielecki, Monique Jeanblanc-Picqué

Publication date: 9 June 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00345.x

zbMATH Keywords

variational inequalitieshedgingAmerican optionspricinggame optionsconvertible bondsreflected BSDEsdefaultable options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites Work

• Backward stochastic differential equations with reflection and Dynkin games
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Defaultable game options in a hazard process model
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A definition and some characteristic properties of pseudo-stopping times
• Convertible Bonds in a Defaultable Diffusion Model
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Backward Stochastic Differential Equations in Finance
• Credit risk: Modelling, valuation and hedging