Default Times in a Continuous-Time Markovian Regime Switching Model
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Publication:3094223
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
product density processescoupled PDEshitting time distributiondefault timesregime-switching Merton model
Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)
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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
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