Pricing credit derivatives under stochastic recovery in a hybrid model
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Publication:3103152
DOI10.1002/ASMB.792zbMATH Open1226.91077OpenAlexW4234902767MaRDI QIDQ3103152FDOQ3103152
Authors: Stephan Höcht, R. Zagst 
Publication date: 26 November 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.792
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Cites Work
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- Risk-neutral valuation: Pricing and hedging of financial derivatives
- Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
Cited In (9)
- Research on CDS pricing model with endogenous recovery rate
- Pricing distressed CDOs with stochastic recovery
- Reassessing recovery rates – floating recoveries
- Probability density of recovery rate given default of a firm's debt and its constituent tranches
- A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
- Pricing defaultable bonds with stochastic recovery under a hybrid model
- A multi-curve HJM factor model for pricing and risk management
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
- Implied recovery
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