A closed-form extension to the Black-Cox model

DOI10.1142/S0219024912500537zbMATH Open1260.91250OpenAlexW1974166963MaRDI QIDQ4909138FDOQ4909138

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

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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)

Cites Work

• 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
• A jump to default extended CEV model: an application of Bessel processes
• Default risk, bankruptcy procedures and the market value of life insurance liabilities

Cited In (2)

• Title not available (Why is that?)
• A closed-form solution of the Black-Litterman model with conditional value at risk

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