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A jump to default extended CEV model: an application of Bessel processes

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  • Peter Carr
  • Vadim Linetsky

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  • Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330
    DOI: 10.1007/s00780-006-0012-6
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    1. Dennis, Patrick & Mayhew, Stewart, 2002. "Risk-Neutral Skewness: Evidence from Stock Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 471-493, September.
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    8. Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008. "A Markov Model for the Term Structure of Credit Risk Spreads," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453, World Scientific Publishing Co. Pte. Ltd..
    9. R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195, April.
    10. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
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    15. Campi, L. & Polbennikov, S.Y. & Sbuelz, A., 2005. "Assessing Credit with Equity : A CEV Model with Jump to Default," Other publications TiSEM 21b78fcf-8401-4e4d-8224-7, Tilburg University, School of Economics and Management.
    16. Dennis, Patrick & Mayhew, Stewart & Stivers, Chris, 2006. "Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(2), pages 381-406, June.
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    18. Peter Carr & Alireza Javaheri, 2005. "The Forward Pde For European Options On Stocks With Fixed Fractional Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 239-253.
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    27. Li Chen & Damir Filipović, 2005. "A simple model for credit migration and spread curves," Finance and Stochastics, Springer, vol. 9(2), pages 211-231, April.
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    More about this item

    Keywords

    Default; Credit spread; Corporate bonds; Equity derivatives; Credit derivatives; Implied volatility skew; CEV model; Bessel processes; 60J35; 60J60; 60J65; 60G70; G12; G13;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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