First-passage time model driven by Lévy process for pricing CoCos

DOI10.1155/2017/5171470zbMath1427.91282OpenAlexW2303253393WikidataQ59147605 ScholiaQ59147605MaRDI QIDQ1992838

Manying Bai, Xiaoshan Su

Publication date: 5 November 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/5171470

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Cites Work

• Valuation and analysis of zero-coupon contingent capital bonds
• Introductory lectures on fluctuations of Lévy processes with applications.
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Pricing CoCos with a Market Trigger
• Lévy Processes and Stochastic Calculus
• First passage times of a jump diffusion process

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