AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING

DOI10.1017/S1446181121000274zbMath1471.91572OpenAlexW4247231816MaRDI QIDQ5158750

Sha Lin, Xin-Jiang He

Publication date: 26 October 2021

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181121000274

zbMATH Keywords

regime switchinganalytical approximationcredit default swapFourier cosine series

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Credit default swap pricing with counterparty risk in a reduced form model with a common jump process

Cites Work

• A new exact solution for pricing European options in a two-state regime-switching economy
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• Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
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