On a convergent power series method to price defaultable bonds in a Vašíček-CIR model
type: Item
instance of: scholarly article
title: On a convergent power series method to price defaultable bonds in a Vašíček-CIR model
zbMATH Open document ID: 1484.91466
DOI: 10.1214/22-ECP458
author: Fabio Antonelli
author: Sergio Scarlatti
author: Alessandro Ramponi
published in: Electronic Communications in Probability
publication date: 2022-03-11T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7488312
zbMATH Keywords: credit risk
zbMATH Keywords: defaultable bond pricing
zbMATH Keywords: non-affine models
zbMATH Keywords: analytical functions
zbMATH Keywords: hazard process
zbMATH Keywords: change of numéraire
MaRDI profile type: Publication
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full work available at URL: 22-ecp458
OpenAlex ID: W4225746186
description: scientific article; zbMATH DE number 7488312