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

DOI10.1007/s00780-010-0139-3zbMath1303.91186OpenAlexW3125002740MaRDI QIDQ483933

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

zbMATH Keywords

defaultcredit derivativescredit spreadCEV modelcredit default swapscorporate bondsequity default swapsequity derivativesjump-to-default extended CEV model

Mathematics Subject Classification ID

Related Items (15)

CDS calibration under an extended JDCEV model ⋮ Evaluating callable and putable bonds: an eigenfunction expansion approach ⋮ Pricing derivatives with counterparty risk and collateralization: a fixed point 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 ⋮ Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach ⋮ MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH ⋮ 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 ⋮ MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS ⋮ The fractional and mixed-fractional CEV model ⋮ PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION ⋮ The early exercise boundary under the jump to default extended CEV model ⋮ Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models

Cites Work

• Successive derivatives of Whittaker functions with respect to the first parameter
• 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
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• The Confluent Hypergeometric Function
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Pricing equity default swaps under the jump-to-default extended CEV model