AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING

DOI10.1017/S1446181121000274zbMath1471.91572MaRDI QIDQ5158750

Sha Lin, Xin-Jiang He

Publication date: 26 October 2021

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181121000274

zbMATH Keywords

regime switching; analytical approximation; credit default swap; Fourier cosine series

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

Related Items

Credit default swap pricing with counterparty risk in a reduced form model with a common jump process

Cites Work

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