A reduced‐form model for pricing defaultable bonds and credit default swaps with stochastic recovery

DOI10.1002/asmb.2200zbMath1420.91474OpenAlexW2520722815MaRDI QIDQ4620167

Jian Pan, Qingxian Xiao

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2200

zbMATH Keywords

pricingdefaultable bondCDSreduced-form modelstochastic recoveryPDE approach

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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