Pricing options with credit risk in a reduced form model
type: Item
instance of: scholarly article
title: Pricing options with credit risk in a reduced form model
zbMATH Open document ID: 1296.91269
author: Xiaonan Su
author: Wensheng Wang
published in: Journal of the Korean Statistical Society
publication date: 2014-09-29T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6349081
zbMATH Keywords: stochastic interest rate
zbMATH Keywords: intensity of default
zbMATH Keywords: jump diffusion
zbMATH Keywords: option pricing
MaRDI profile type: Publication
full work available at URL: j.jkss.2012.01.006
OpenAlex ID: W2029675411
cites work: Credit risk valuation. Methods, models, and applications.
cites work: A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
cites work: The pricing of options and corporate liabilities
cites work: Valuation of vulnerable American options with correlated credit risk
cites work: MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
cites work: Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
cites work: The credit risk and pricing of OTC options
cites work: Q4905685
cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
DOI: 10.1016/J.JKSS.2012.01.006
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description: scientific article; zbMATH DE number 6349081