A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
Mathematics (miscellaneous)
Link
http://link.springer.com/article/10.1007/s11464-017-0638-z/fulltext.html
Reference22 articles.
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2. Bao Q F, Chen S, Li S H. Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest. Econ Model, 2012, 29: 471–477
3. Bo L J, Wang Y J, Yang X W. On the default probability in a regime-switching regulated market. Methodol Comput Appl Probab, 2014, 16: 101–113
4. Buffington J, Elliott R J. American options with regime switching. Int J Theor Appl Finance, 2002, 5: 497–514
5. Chen P, Yang H L. Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. Appl Stoch Model Bus Ind, 2010, 26: 125–141
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2. Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes;The North American Journal of Economics and Finance;2022-07
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