Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads

DOI10.1007/s10690-010-9134-0zbMath1239.91177OpenAlexW1970097356MaRDI QIDQ763417

Yoshifumi Muroi, E. Kazuhiro Takino

Publication date: 9 March 2012

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9134-0

zbMATH Keywords

credit riskdefaultable bondscredit default swpascredit migration modeloptions on defaultable bonds

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

ANALYTIC PRICING OF CoCo BONDS

Cites Work

• On Cox processes and credit risky securities
• An asymptotic expansion approach to pricing financial contingent claims
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• On validity of the asymptotic expansion approach in contingent claim analysis
• Pricing contingent claims with credit risk: asymptotic expansion approach
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD

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