A Monte-Carlo based approach for pricing credit default swaps with regime switching

DOI10.1016/J.CAMWA.2018.07.027zbMath1431.91435OpenAlexW2885392930WikidataQ129443388 ScholiaQ129443388MaRDI QIDQ2293596

Xin-Jiang He, Wen-Ting Chen

Publication date: 5 February 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2018.07.027

zbMATH Keywords

Monte Carloregime switchingcredit default swapdown-and-out binary optiontime-dependent Black-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (3)

PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING ⋮ A regime switching fractional Black-Scholes model and European option pricing ⋮ AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING

Cites Work

• On Cox processes and credit risky securities
• Pricing the risks of default
• `Finem Lauda' or the risks in swaps
• Analysis of time series subject to changes in regime
• Pricing credit default swaps under a multi-scale stochastic volatility model
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• A simple approach for pricing barrier options with time-dependent parameters

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