A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model
From MaRDI portal
Publication:6040400
DOI10.1016/j.enganabound.2023.01.033zbMath1521.91385MaRDI QIDQ6040400
Mohsen Razzaghi, Davood Damircheli, Seyed-Mohammad-Mahdi Kazemi, Ali Foroush Bastani
Publication date: 25 May 2023
Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)
regime switchingdefault probabilityradial basis function collocationstructural credit risk modeltempered stable Lévy processstrictly positive-definite functions
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Numerical radial basis function approximation (65D12)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Tempered stable distributions and processes
- The Pricing of Options and Corporate Liabilities
- A Jump-Diffusion Model for Option Pricing
- An adaptive algorithm for solving stochastic multi-point boundary value problems
- On differentiability and analyticity of positive definite functions
- Option pricing and Esscher transform under regime switching
- Tempering stable processes
- A numerical method for solution of the two-dimensional sine-Gordon equation using the radial basis functions
- Newton iteration with multiquadrics for the solution of nonlinear PDEs
- Estimates on the derivatives and analyticity of positive definite functions on \(\mathbb{R}^m\)
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- Simulation of Maxwell equation based on an ADI approach and integrated radial basis function-generalized moving least squares (IRBF-GMLS) method with reduced order algorithm based on proper orthogonal decomposition
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models
- Financial options pricing with regime-switching jump-diffusions
- On a new family of radial basis functions: mathematical analysis and applications to option pricing
- Bilateral gamma distributions and processes in financial mathematics
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- Pricing Derivatives Under Lévy Models
- Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps
- Single and joint default in a structural model with purely discontinuous asset prices
- MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
- Fourier space time-stepping for option pricing with Lévy models
- Markov Chains
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models
- The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model
- A Galerkin Radial Basis Function Method for the Schrödinger Equation
- Accurate Evaluation of European and American Options Under the CGMY Process
- A numerical study of the accuracy and stability of symmetric and asymmetric RBF collocation methods for hyperbolic PDEs
- Option pricing when underlying stock returns are discontinuous
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
