Single name credit default swaptions meet single sided jump models
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DOI: 10.1007/s11147-008-9027-9
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References listed on IDEAS
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
- Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
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Cited by:
- Tim Siu-Tang Leung & Kazutoshi Yamazaki, 2010. "American Step-Up and Step-Down Default Swaps under Levy Models," Papers 1012.3234, arXiv.org, revised Sep 2012.
- Amelie Hüttner & Matthias Scherer, 2016. "A note on the valuation of CDS options and extension risk in a structural model with jumps," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-16, June.
- Yuan Li & Kenichiro Shiraya & Yuji Umezawa & Akira Yamazaki, 2022. "Moments of Maximum of Lévy Processes: Application to Barrier and Lookback Option Pricing," CARF F-Series CARF-F-536, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akira Yamazaki, 2017. "Equilibrium Equity Price With Optimal Dividend Policy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-28, March.
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More about this item
Keywords
Single sided Levy processes; Structural models; Credit risk; Default probability; Credit Default Swaptions; Option pricing; C02; G13;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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