The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier

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

zbMATH Keywords

Laplace transformregime switchingdefaultable bondjump-diffusion processstochastic default barrier

Mathematics Subject Classification ID

Related Items (3)

Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model ⋮ Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes ⋮ FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS

Cites Work

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