The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier-Reference-Cited by-同舟云学术

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The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier

Published:2018-04-12 Issue:9 Volume:48 Page:2185-2205
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Xu Chao¹,Dong Yinghui¹²,Wang Guojing³

Affiliation:

1. Department of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, P. R. China

2. Department of Mathematics, Imperial College, London, SW7 2AZ, UK

3. Department of Mathematics and Center for Financial Engineering, Soochow University, Suzhou, P.R.China

Funder

NSF of Jiangsu Province

Jiangsu Overseas Visiting Scholar Program and the Graduate Innovation Program

NNSF of China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2018.1459715

Reference33 articles.

1. VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

2. The Pricing of Options and Corporate Liabilities

3. On the Default Probability in a Regime-Switching Regulated Market

4. Valuing Risky Fixed Rate Debt: An Extension

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Pricing a Defaultable Zero-Coupon Bond under Imperfect Information and Regime Switching;Mathematics;2024-09-02

2. Estimating LGD Considering Firm's Debt Structure and Collateral Liquidity, a Monte Carlo Simulation Approach;SSRN Electronic Journal;2024

3. Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching;The European Journal of Finance;2023-04-24

4. Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes;Communications in Statistics - Theory and Methods;2022-04-21

5. Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model;Communications in Statistics - Theory and Methods;2019-09-11

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