PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS

DOI10.1142/S0219024914500198zbMath1295.91084MaRDI QIDQ5420699

Johan Tysk, Erik Ekström, Hannah Dyrssen

Publication date: 13 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

martingalescredit riskBlack-Scholes equationjump-to-default model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• A jump to default extended CEV model: an application of Bessel processes
• Convexity theory for the term structure equation
• Preservation of convexity of solutions to parabolic equations
• A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES
• TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
• Local Volatility Enhanced by a Jump to Default
• Robustness of the Black and Scholes Formula
• PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS
• Option pricing when underlying stock returns are discontinuous
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

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