Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion

DOI10.1080/14697688.2015.1058520zbMath1468.91163OpenAlexW2276918527MaRDI QIDQ5001154

Pao-Peng Hsu, Chang-Yi Li, Son-Nan Chen

Publication date: 16 July 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2015.1058520

zbMATH Keywords

business cyclecredit spreadMarkov-modulated jump-diffusion model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Jump processes on discrete state spaces (60J74)

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