A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL
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Publication:4909138
DOI10.1142/S0219024912500537zbMath1260.91250MaRDI QIDQ4909138
Aurélien Alfonsi, Jérôme Lelong
Publication date: 12 March 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500537
credit risk; hybrid model; Parisian options; structural model; intensity model; Black-Cox model; ParAsian options
Cites Work
- A jump to default extended CEV model: an application of Bessel processes
- Default risk, bankruptcy procedures and the market value of life insurance liabilities
- Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
- Brownian Excursions and Parisian Barrier Options
- Credit risk: Modelling, valuation and hedging