A new default probability calculation formula and its application under uncertain environments

DOI10.1155/2018/3481863zbMath1422.91747OpenAlexW2887195592WikidataQ129431382 ScholiaQ129431382MaRDI QIDQ1727067

Xianqiang Yang

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/3481863

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Unnamed Item
• On Cox processes and credit risky securities
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
• Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
• A reduced-form intensity-based model under fuzzy environments
• A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
• A jump-diffusion model for option pricing under fuzzy environments
• Fuzzy defaultable bonds
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• Credit derivatives pricing model for fuzzy financial market
• Compound option pricing under fuzzy environment
• The valuation of European options in uncertain environment
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Bond pricing under imprecise information
• The total return swap pricing model under fuzzy random environments
• Fuzzy semi-Markov migration process in credit risk
• European option pricing under fuzzy environments
• A General Formula for Valuing Defaultable Securities
• Fuzzy sets
• Fuzzy random variables

This page was built for publication: A new default probability calculation formula and its application under uncertain environments