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

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  • Yoshifumi Muroi
  • E. Takino

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  • Yoshifumi Muroi & E. Takino, 2011. "Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 345-372, November.
    • Handle: RePEc:kap:apfinm:v:18:y:2011:i:4:p:345-372
    DOI: 10.1007/s10690-010-9134-0
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    References listed on IDEAS

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    1. Akihiko Takahashi & Kohta Takehara, 2008. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options," CIRJE F-Series CIRJE-F-538, CIRJE, Faculty of Economics, University of Tokyo.
    2. 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.
    3. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CIRJE F-Series CIRJE-F-621, CIRJE, Faculty of Economics, University of Tokyo.
    4. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CARF F-Series CARF-F-149, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    5. Yoshifumi Muroi, 2005. "Pricing contingent claims with credit risk: Asymptotic expansion approach," Finance and Stochastics, Springer, vol. 9(3), pages 415-427, July.
    6. 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, October.
    7. 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.
    8. 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.
    9. Naoto Kunitomo & Akihiko Takahashi, 2001. "The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 117-151, January.
    10. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
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    Cited by:

    1. Colin Turfus & Alexander Shubert, 2017. "ANALYTIC PRICING OF CoCo BONDS," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-26, August.

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