A closed-form extension to the Black-Cox model

DOI10.1142/S0219024912500537MaRDI QIDQ4909138zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

hybrid modelcredit riskParisian optionsstructural modelintensity modelBlack-Cox modelParAsian options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• A jump to default extended CEV model: an application of Bessel processes
• Brownian Excursions and Parisian Barrier Options
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Credit risk: Modelling, valuation and hedging
• Default risk, bankruptcy procedures and the market value of life insurance liabilities

Cited in

(2)

• scientific article; zbMATH DE number 7534789 (Why is no real title available?)
• A closed-form solution of the Black-Litterman model with conditional value at risk

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