Default Times in a Continuous-Time Markovian Regime Switching Model

DOI10.1080/07362994.2011.598792zbMath1233.91297OpenAlexW2079339209MaRDI QIDQ3094223

Robert J. Elliott, Tak Kuen Siu

Publication date: 21 October 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.598792

zbMATH Keywords

product density processescoupled PDEshitting time distributiondefault timesregime-switching Merton model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items (2)

Pricing credit derivatives under a correlated regime-switching hazard processes model ⋮ A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Utility-based indifference pricing in regime-switching models
• Filtering with discrete state observations
• On Models of Default Risk
• Functional Integration and Partial Differential Equations. (AM-109)

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