Pricing credit default swaps with Parisian and Parasian default mechanics

DOI10.1080/03610918.2019.1653913MaRDI QIDQ5082824zbMATH OpenOpenAlexFDO

Authors Wen-Ting Chen, Xin-Jiang He, Sha Lin

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1653913

zbMATH Keywords

binary optionscredit default swapsfinite difference methodParisian-type options

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Pricing credit default swaps under a multi-scale stochastic volatility model
• Pricing Parisian and Parasian options analytically
• Pricing the risks of default
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion

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