Flexing the default barrier

DOI10.1080/14697688.2010.481633zbMath1277.91183OpenAlexW2117093803MaRDI QIDQ2866385

Paul Schneider, Tanja Veža, Gregor Dorfleitner

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://epub.uni-regensburg.de/13465/1/SSRN-id1343513.pdf

zbMATH Keywords

Green's functioncalibrationcredit default swapstructural modeldefault boundary

Mathematics Subject Classification ID

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

Cites Work

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• Approximations of boundary crossing probabilities for a Brownian motion
• Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process

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