On pricing of credit spread options

DOI10.1016/J.EJOR.2003.12.005MaRDI QIDQ704058zbMATH OpenOpenAlexFDO

Authors Rosella Giacometti, Mariangela Teocchi

Publication date 12 January 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2003.12.005

zbMATH Keywords

Mean reversionSimulationStochastic processesCredit spread optionsFinance

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

• Generalized autoregressive conditional heteroscedasticity
• THE GARCH OPTION PRICING MODEL
• The pricing of credit risk derivatives

Cited in

(11)

• Pricing and Hedging Spread Options
• Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market
• Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
• Pricing European style credit spread options
• A spread-return mean-reverting model for credit spread dynamics
• Valuation of a credit spread put option: the stable Paretian model with copulas
• Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option
• Arithmetic Brownian motion and real options
• Valuing the flexibility of investing in security process innovations
• On the Pricing of Credit Spread Options: A Two Factor HW–BK Algorithm
• Pricing spread options with stochastic interest rates

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