Pricing equity default swaps under the jump-to-default extended CEV model

DOI10.1007/S00780-010-0139-3zbMATH Open1303.91186OpenAlexW3125002740MaRDI QIDQ483933FDOQ483933

Authors: Rafael Mendoza-Arriaga, Vadim Linetsky 

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0139-3

Recommendations

• Empirical analysis and calibration of the CEV process for pricing equity default swaps
• The value of the ‘swap’ feature in equity default swaps
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
• CDS calibration under an extended JDCEV model
• Systematic equity-based credit risk: A CEV model with jump to default

zbMATH Keywords

defaultCEV modelcredit default swapscorporate bondscredit derivativescredit spreadequity default swapsequity derivativesjump-to-default extended CEV model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

Cites Work

• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Confluent Hypergeometric Function
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• A jump to default extended CEV model: an application of Bessel processes
• Lookback options and diffusion hitting times: a spectral expansion approach
• Systematic equity-based credit risk: A CEV model with jump to default
• Successive derivatives of Whittaker functions with respect to the first parameter

Cited In (17)

• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
• Empirical analysis and calibration of the CEV process for pricing equity default swaps
• CDS calibration under an extended JDCEV model
• Evaluating callable and putable bonds: an eigenfunction expansion approach
• Multivariate subordination of Markov processes with financial applications
• Pricing derivatives with counterparty risk and collateralization: a fixed point approach
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
• Investment, agency conflicts, debt maturity, and loan guarantees by negotiation
• Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
• Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
• Pricing European vanilla options under a jump-to-default threshold diffusion model
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
• The early exercise boundary under the jump to default extended CEV model
• The value of the ‘swap’ feature in equity default swaps
• The fractional and mixed-fractional CEV model
• Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
• Closed-form expansions of discretely monitored Asian options in diffusion models

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