A structural jump-diffusion model for pricing collateralized debt obligations tranches

DOI10.1007/s11766-010-2196-yzbMath1240.91175OpenAlexW2353148416MaRDI QIDQ716531

Ruicheng Yang

Publication date: 29 September 2011

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-010-2196-y

zbMATH Keywords

Brownian motionloss distributionasymmetric double exponential distributioncollateralized debt obligationsstructural jump-diffusion model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

Cites Work

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• A Jump-Diffusion Model for Option Pricing
• Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
• First passage times of a jump diffusion process
• Probability

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