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

DOI10.1007/S00780-010-0139-3MaRDI QIDQ483933zbMATH OpenOpenAlexFDO

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

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)

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

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3141417 (Why is no real title available?)
• scientific article; zbMATH DE number 48233 (Why is no real title available?)
• A jump to default extended CEV model: an application of Bessel processes
• Lookback options and diffusion hitting times: a spectral expansion approach
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Successive derivatives of Whittaker functions with respect to the first parameter
• Systematic equity-based credit risk: A CEV model with jump to default
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• The Confluent Hypergeometric Function

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
• The early exercise boundary under the jump to default extended CEV model
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
• 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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