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A jump to default extended CEV model: an application of Bessel processes

  • Peter Carr

    ()

  • Vadim Linetsky

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s00780-006-0012-6
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    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 10 (2006)
    Issue (Month): 3 (September)
    Pages: 303-330

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    Handle: RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330
    DOI: 10.1007/s00780-006-0012-6
    Contact details of provider: Web page: http://www.springer.com

    Order Information: Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2

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    1. Dennis, Patrick & Mayhew, Stewart, 2002. "Risk-Neutral Skewness: Evidence from Stock Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(03), pages 471-493, September.
    2. Peter Carr & Alireza Javaheri, 2005. "The Forward Pde For European Options On Stocks With Fixed Fractional Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 239-253.
    3. John Y. Campbell & Albert S. Kyle, 1988. "Smart Money, Noise Trading and Stock Price Behavior," NBER Technical Working Papers 0071, National Bureau of Economic Research, Inc.
    4. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
    5. Peter Grundke & Karl O. Riedel, 2004. "Pricing the Risks of Default: A Note on Madan and Unal," Review of Derivatives Research, Springer, vol. 7(2), pages 169-173, 08.
    6. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409 World Scientific Publishing Co. Pte. Ltd..
    7. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
    8. R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195.
    9. Campbell, John & Taksler, Glen, 2003. "Equity Volatility and Corporate Bond Yields," Scholarly Articles 3153307, Harvard University Department of Economics.
    10. Li Chen & Damir Filipovic, 2003. "A Simple Model for Credit Migration and Spread Curves," Finance 0305003, EconWPA.
    11. Vadim Linetsky, 2006. "Pricing Equity Derivatives Subject To Bankruptcy," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 255-282.
    12. S. Dyrting, 2004. "Evaluating the Noncentral Chi-Square Distribution for the Cox-Ingersoll-Ross Process," Computational Economics, Springer;Society for Computational Economics, vol. 24(1), pages 35-50, 08.
    13. Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008. "A Markov Model for the Term Structure of Credit Risk Spreads," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453 World Scientific Publishing Co. Pte. Ltd..
    14. Li Chen & Damir Filipović, 2005. "A simple model for credit migration and spread curves," Finance and Stochastics, Springer, vol. 9(2), pages 211-231, 04.
    15. Schroder, Mark Douglas, 1989. " Computing the Constant Elasticity of Variance Option Pricing Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 211-19, March.
    16. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
    17. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    18. David Heath & Eckhard Platen, 2002. "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series 78, Quantitative Finance Research Centre, University of Technology, Sydney.
    19. Haugen, Robert A & Talmor, Eli & Torous, Walter N, 1991. " The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns," Journal of Finance, American Finance Association, vol. 46(3), pages 985-1007, July.
    20. 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.
    21. Benton, Denise & Krishnamoorthy, K., 2003. "Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral t and the distribution of the square of the sample multiple correlation coefficient," Computational Statistics & Data Analysis, Elsevier, vol. 43(2), pages 249-267, June.
    22. Dennis, Patrick & Mayhew, Stewart & Stivers, Chris, 2006. "Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(02), pages 381-406, June.
    23. Vadim Linetsky, 2004. "Lookback options and diffusion hitting times: A spectral expansion approach," Finance and Stochastics, Springer, vol. 8(3), pages 373-398, 08.
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