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Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads

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Author Info

  • Yoshifumi Muroi

    ()

  • E. Takino

Abstract

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File URL: http://hdl.handle.net/10.1007/s10690-010-9134-0
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Bibliographic Info

Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 18 (2011)
Issue (Month): 4 (November)
Pages: 345-372

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Handle: RePEc:kap:apfinm:v:18:y:2011:i:4:p:345-372

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Web page: http://springerlink.metapress.com/link.asp?id=102851

Related research

Keywords: Credit risk; Credit migration model; Defaultable bonds; Credit default swaps; Options on defaultable bonds;

References

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  1. Kenneth J. Singleton & Len Umantsev, 2002. "Pricing Coupon-Bond Options And Swaptions In Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 427-446.
  2. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
  3. Akihiko Takahashi & Kohta Takehara, 2008. "Fourier Transform Method With An Asymptotic Expansion Approach: An Application To Currency Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 381-401.
  4. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
  5. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
  6. Yoshifumi Muroi, 2005. "Pricing contingent claims with credit risk: Asymptotic expansion approach," Finance and Stochastics, Springer, vol. 9(3), pages 415-427, 07.
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