Discrete credit barrier models

DOI10.1080/14697680500148943zbMath1134.91393OpenAlexW2010696614MaRDI QIDQ5711163

Oliver X. Chen, Claudio Albanese

Publication date: 9 December 2005

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500148943

zbMATH Keywords

credit processdiscrete credit barrier model

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (2)

Alternative defaultable term structure models ⋮ Pricing credit default swaps with bilateral value adjustments

Cites Work

• The Pricing of Options and Corporate Liabilities
• Birth-death processes and associated polynomials.
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• The Variance Gamma Process and Option Pricing
• Spectral theory for the differential equations of simple birth and death processes

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