Local Volatility Enhanced by a Jump to Default

DOI10.1137/090750731zbMath1197.91183OpenAlexW3122537902MaRDI QIDQ3402357

Dilip B. Madan, Peter Carr

Publication date: 3 February 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/7bff9c9085c38d1fdf55bd0b87be255cf8c36dda

zbMATH Keywords

Weibull distributiondefault adjusted driftsrecovering default free option pricestruncated power prices

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

Related Items (9)

Pricing derivatives with counterparty risk and collateralization: a fixed point approach ⋮ Local volatility and the recovery rate of credit default swaps ⋮ A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk ⋮ Pricing vulnerable claims in a Lévy-driven model ⋮ PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS ⋮ A family of density expansions for Lévy-type processes ⋮ Pricing European vanilla options under a jump-to-default threshold diffusion model ⋮ TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK ⋮ A unified approach to pricing and risk management of equity and credit risk

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