Empirical analysis and calibration of the CEV process for pricing equity default swaps-Reference-Cited by-同舟云学术

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Empirical analysis and calibration of the CEV process for pricing equity default swaps

Published:2010-07-21 Issue:12 Volume:11 Page:1815-1823
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Baaquie Belal E.¹,Pan Tang²,Bhanap Jitendra D.³

Affiliation:

1. a Department of Physics , National University of Singapore and Risk Management Institute, National University of Singapore , 2 Science Drive 3, Singapore 117542 , Singapore

2. b Department of Physics , National University of Singapore , Singapore

3. c Department of Mathematics , National University of Singapore and National Australia Bank , #15-00, Suntec Tower 5, Singapore 038985 , Singapore

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697680903547915

Reference8 articles.

1. Quantum Finance

2. The Pricing of Options and Corporate Liabilities

3. Systematic equity-based credit risk: A CEV model with jump to default

4. The Constant Elasticity of Variance Option Pricing Model

Cited by 2 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. Singular diffusions, constant elasticity of variance processes and logarithmic rates of return;The European Journal of Finance;2020-01-12

2. Efficient Monte Carlo option pricing under CEV model;Communications in Statistics - Simulation and Computation;2015-11-21

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