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Assessing Credit with Equity : A CEV Model with Jump to Default

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  • Campi, L.
  • Polbennikov, S.Y.

    (Tilburg University, School of Economics and Management)

  • Sbuelz, A.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Campi, L. & Polbennikov, S.Y. & Sbuelz, A., 2005. "Assessing Credit with Equity : A CEV Model with Jump to Default," Other publications TiSEM 21b78fcf-8401-4e4d-8224-7, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:21b78fcf-8401-4e4d-8224-7dab1cda270c
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/773326/27.pdf
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    References listed on IDEAS

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    1. Leif Andersen & Jesper Andreasen, 2000. "Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing," Review of Derivatives Research, Springer, vol. 4(3), pages 231-262, October.
    2. Beckers, Stan, 1980. "The Constant Elasticity of Variance Model and Its Implications for Option Pricing," Journal of Finance, American Finance Association, vol. 35(3), pages 661-673, June.
    3. C. F. Lo & P. H. Yuen & C. H. Hui, 2000. "Constant Elasticity Of Variance Option Pricing Model With Time-Dependent Parameters," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 661-674.
    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 449-470, May.
    5. Dmitry Davydov & Vadim Linetsky, 2001. "Pricing and Hedging Path-Dependent Options Under the CEV Process," Management Science, INFORMS, vol. 47(7), pages 949-965, July.
    6. Guha, R. & Sbuelz, A., 2003. "Structural RFV : Recovery Form and Defaultable Debt Analysis," Other publications TiSEM 841ad1ef-22f2-4ea8-b19b-5, Tilburg University, School of Economics and Management.
    7. Emanuel, David C. & MacBeth, James D., 1982. "Further Results on the Constant Elasticity of Variance Call Option Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(4), pages 533-554, November.
    8. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    9. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    10. Schroder, Mark Douglas, 1989. " Computing the Constant Elasticity of Variance Option Pricing Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 211-219, March.
    11. C. F. Lo & P. H. Yuen & C. H. Hui, 2001. "Pricing Barrier Options With Square Root Process," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(05), pages 805-818.
    12. Guha, R. & Sbuelz, A., 2003. "Structural RFV : Recovery Form and Defaultable Debt Analysis," Discussion Paper 2003-37, Tilburg University, Center for Economic Research.
    13. Boyle, Phelim P. & Tian, Yisong “Samâ€, 1999. "Pricing Lookback and Barrier Options under the CEV Process," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(2), pages 241-264, June.
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    Cited by:

    1. Ren Raw Chen & Cheng Few Lee & Han-Hsing Lee, 2020. "Empirical Performance of the Constant Elasticity Variance Option Pricing Model," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 51, pages 1903-1942, World Scientific Publishing Co. Pte. Ltd..
    2. Anh Le, 2015. "Separating the Components of Default Risk: A Derivative-Based Approach," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-48.
    3. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
    4. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
    5. Sanjiv R. Das & Rangarajan K. Sundaram, 2007. "An Integrated Model for Hybrid Securities," Management Science, INFORMS, vol. 53(9), pages 1439-1451, September.

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