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Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123

Persistent link: https://www.econbiz.de/10011765022

Optional defaultable markets

Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default … under such conditions. Moreover, several important examples are presented: a new pricing formula for a defaultable bond and … a new pricing formula for credit default swap. Furthermore, some results on the absence of arbitrage for markets on …

Persistent link: https://www.econbiz.de/10011783347

Are credit spreads too low or too high? : a hybrid barrier option approach for financial distress

Lin, William; Sun, David - In: The journal of futures markets 29 (2009) 12, pp. 1161-1189

Persistent link: https://www.econbiz.de/10003900991

Credit spreads and bankruptcy information from options data

Tzeng, Chi-Feng - In: Annals of financial economics 9 (2014) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10010489092

Pricing Barrier Options and Credit Default Swaps (CDS) in Spectrally One-Sided Levy Models : The Parabolic Laplace Inversion Method

Boyarchenko, Mitya - 2013

Recently, the advantages of conformal deformations of the contours of integration in pricing formulas were demonstrated … deformations of the contours of integration in the pricing formulas for barrier options and CDS in the setting of spectrally one …

Persistent link: https://www.econbiz.de/10013073595

What Drives the Price Convergence between Credit Default Swap and Put Option : New Evidence

Chan, Ka Kei - 2019

Credit default swaps (CDSs) and deep out-of-the-money put (DOOMP) options can both be used as a credit protection instrument. However, partial market segmentation results in deviations between firm hazard rates implied by these contracts. These deviations are driven by a systematic...

Persistent link: https://www.econbiz.de/10012899167