The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model

DOI10.1080/10920277.2008.10597498zbMath1481.91211OpenAlexW2037799824MaRDI QIDQ5022522

Christina Erlwein, Tak Kuen Siu, Rogemar S. Mamon

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597498

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with biology, chemistry and other natural sciences (35Q92) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (11)

Putting a price tag on temperature ⋮ A reduced-form model for correlated defaults with regime-switching shot noise intensities ⋮ Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching ⋮ An Exact Formula for Pricing American Exchange Options with Regime Switching ⋮ A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model ⋮ On the default probability in a regime-switching regulated market ⋮ A self-tuning model for inflation rate dynamics ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion

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