Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10003862378
Persistent link: https://www.econbiz.de/10008669497
Persistent link: https://www.econbiz.de/10010520456
Persistent link: https://www.econbiz.de/10009295925
Persistent link: https://www.econbiz.de/10012058933
Persistent link: https://www.econbiz.de/10012194976
Persistent link: https://www.econbiz.de/10014533801
The current paper provides a general approach to construct distortion operators that can price financial and insurance risks. Our approach generalizes the Wang (2000) transform and recovers multiple distortions proposed in the literature as particular cases. This approach enables designing...
Persistent link: https://www.econbiz.de/10012901241
Although option pricing schemes in regime-switching frameworks were extensively explored in the literature, many models developed disregard the unobservability of regimes. In such a context, the traditional pricing approach pioneered by Hardy (2001) applied to vanilla options exhibits...
Persistent link: https://www.econbiz.de/10012933159
We investigate the impact of credit spreads on the stochastic duration and convexity of corporate bonds with respect to the same metrics for equivalent Treasury bonds. We show that the credit spread has two interacting effects on both the duration and the convexity of a corporate coupon bond as...
Persistent link: https://www.econbiz.de/10014239516