Empirical analysis and calibration of the CEV process for pricing equity default swaps

DOI10.1080/14697680903547915zbMath1277.91180OpenAlexW2022508150MaRDI QIDQ2866396

Jitendra Bhanap, Tang Pan, Belal Ehsan Baaquie

Publication date: 13 December 2013

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

Full work available at URL: https://doi.org/10.1080/14697680903547915

zbMATH Keywords

Monte Carlo simulationCEV processcredit default swapsequity default swapsprobability of default

Mathematics Subject Classification ID

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

Related Items (1)

Efficient Monte Carlo option pricing under CEV model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Systematic equity-based credit risk: A CEV model with jump to default
• Pricing and Hedging Path-Dependent Options Under the CEV Process

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