Pricing Options with Credit Risk in Markovian Regime-Switching Markets
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-06-20
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This paper investigates the valuation of European option with credit risk in a reduced form model when the stock price is driven by the so-called Markov-modulated jump-diffusion process, in which the arrival rate of rare events and the volatility rate of stock are controlled by a continuous-time Markov chain.
We also assume that the interest rate and the default intensity follow the Vasicek models whose parameters are governed by the same Markov chain.
We study the pricing of European option and present numerical illustrations.
American Psychological Association (APA)
Li, Jinzhi& Ma, Shixia. 2013. Pricing Options with Credit Risk in Markovian Regime-Switching Markets. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-485845
Modern Language Association (MLA)
Li, Jinzhi& Ma, Shixia. Pricing Options with Credit Risk in Markovian Regime-Switching Markets. Journal of Applied Mathematics No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-485845
American Medical Association (AMA)
Li, Jinzhi& Ma, Shixia. Pricing Options with Credit Risk in Markovian Regime-Switching Markets. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-485845
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-485845