The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
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Publication:5078105
DOI10.1080/03610926.2018.1459715OpenAlexW2797893361WikidataQ110650893 ScholiaQ110650893MaRDI QIDQ5078105
Yinghui Dong, Chao Xu, Guo-jing Wang
Publication date: 20 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1459715
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Cites Work
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- A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk
- Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps
- AMERICAN OPTIONS WITH REGIME SWITCHING
- A Structural Model with Unobserved Default Boundary
- A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- The Time Value of Ruin in a Sparre Andersen Model
- Credit risk: Modelling, valuation and hedging
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