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Pricing contingent claims with credit risk: Asymptotic expansion approach

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  • Yoshifumi Muroi

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Abstract

The pricing problems of credit derivatives have received much attention in the last decade. An important unresolved problem, however, is the pricing of credit derivatives under the general environment in which the interest rate process and the hazard rate process are stochastic. This article addresses the pricing problems of credit derivatives by the asymptotic expansion approach. This approach has only recently been introduced to mathematical finance, and it enables us to evaluate credit derivatives under a widely adapted class of models. We also present a numerical study. Copyright Springer-Verlag Berlin/Heidelberg 2005

Suggested Citation

  • Yoshifumi Muroi, 2005. "Pricing contingent claims with credit risk: Asymptotic expansion approach," Finance and Stochastics, Springer, vol. 9(3), pages 415-427, July.
  • Handle: RePEc:spr:finsto:v:9:y:2005:i:3:p:415-427
    DOI: 10.1007/s00780-004-0147-2
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