Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
type: Item
instance of: scholarly article
title: Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
zbMATH Open document ID: 1239.91177
author: Yoshifumi Muroi
author: E. Kazuhiro Takino
published in: Asia-Pacific Financial Markets
publication date: 2012-03-09T00:00:00Z
review text: Pricing models of credit derivatives within the credit rating models with stochastically varying credit spread are constructed in a Markovian credit migration model. The credit risk models under consideration are credit default swaps and options on defaultable bonds. Closed-form asymptotic representation formulas are obtained.
reviewed by: Anatoliy Swishchuk
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6013636
zbMATH Keywords: credit risk
zbMATH Keywords: credit migration model
zbMATH Keywords: defaultable bonds
zbMATH Keywords: credit default swpas
zbMATH Keywords: options on defaultable bonds
MaRDI profile type: Publication
full work available at URL: s10690-010-9134-0
OpenAlex ID: W1970097356
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DOI: 10.1007/S10690-010-9134-0
description: scientific article; zbMATH DE number 6013636