Showing 131 - 138 of 138
This paper proposes an extended CreditGrades model called the Levy CreditGrades model, which is driven by a Levy process. In this setting, quasi closed-form formulae for pricing equity options to a reference firm and for calculating its survival probabilities are derived. Moreover, using three...
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While the proportional hazard model is recognized to be statistically meaningful for analyzing and estimating financial event risks, the existing literature that analytically deals with the valuation problems is very limited. In this paper, adopting the proportional hazard model in continuous...
Persistent link: https://www.econbiz.de/10013094076
This paper proposes a general method to recover the subjective probability distribution of nonlinear payoffs from option prices. We show that the characteristic function of the distribution can be represented as the present value of a static option portfolio with complex-valued portfolio...
Persistent link: https://www.econbiz.de/10014349539
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This paper examines the behavior of the market equilibrium in an endowment economy in continuous time, in which a representative investor with exponential utility consumes the dividends generated by multiple risky assets. The dividends are assumed to be mutually independent and belong to a class...
Persistent link: https://www.econbiz.de/10013005749
This paper proposes a generalization of the Generalized Barndorff-Nielsen and Shephard model, in which the log return on an asset price is governed by a Levy process with stochastic volatility modeled by a non-Gaussian Ornstein-Uhlenbeck process. Under the generalized model, we derive a...
Persistent link: https://www.econbiz.de/10013006093
This paper proposes a pricing formula for residential mortgage-backed securities (RMBS) with the proportional hazard model. First, we develop basic models of mortgage contracts with prepayment risk in the intensity-based framework. Next, assuming the proportional hazard model to describe...
Persistent link: https://www.econbiz.de/10012758174