Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
DOI10.1007/S10690-010-9134-0zbMATH Open1239.91177OpenAlexW1970097356MaRDI QIDQ763417FDOQ763417
Authors: Yoshifumi Muroi, E. Kazuhiro Takino 
Publication date: 9 March 2012
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-010-9134-0
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Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- On Cox processes and credit risky securities
- An asymptotic expansion approach to pricing financial contingent claims
- On validity of the asymptotic expansion approach in contingent claim analysis
- A general computation scheme for a high-order asymptotic expansion method
- The asymptotic expansion approach to the valuation of interest rate contingent claims
- PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
- Pricing contingent claims with credit risk: asymptotic expansion approach
Cited In (9)
- Pricing contingent claims with credit risk: asymptotic expansion approach
- Credit derivatives pricing with stochastic volatility models
- On pricing of credit spread options
- Jump diffusion in credit barrier modeling: a partial integro-differential equation approach
- Asymptotic analysis for one-name credit derivatives
- ANALYTIC PRICING OF CoCo BONDS
- A simple model for credit migration and spread curves
- Title not available (Why is that?)
- Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
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