On the single name CDS price under structural modeling

DOI10.1016/j.cam.2013.07.052zbMath1314.91229OpenAlexW2083828730MaRDI QIDQ2349607

Ömür Uğur, İ. H. Gökgöz, Yeliz Yolcu-Okur

Publication date: 17 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.07.052

zbMATH Keywords

credit riskcredit derivativescredit default swapstructural modelscredit crisis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (3)

Basket credit default swap pricing with two defaultable counterparties ⋮ Credit default swap pricing with counterparty risk in a reduced form model with a common jump process ⋮ Introducing fuzziness in CDS pricing under a structural model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Credit risk: Modelling, valuation and hedging
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