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

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Cited by:

  1. Ning Cai & Chenxu Li & Chao Shi, 2014. "Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models," Mathematics of Operations Research, INFORMS, vol. 39(3), pages 789-822, August.
  2. Dassios, Angelos & Li, Luting, 2020. "Explicit asymptotic on first passage times of diffusion processes," LSE Research Online Documents on Economics 103087, London School of Economics and Political Science, LSE Library.
  3. Pedro Vidal Nunes, João & Pedro Ruas, João & Carlos Dias, José, 2017. "Errata for the article “Pricing and static hedging of American-style options under the jump to default extended CEV model”," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 20-23.
  4. Andrey Itkin, 2013. "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, vol. 16(2), pages 111-134, July.
  5. Areski Cousin & Ying Jiao & Christian y Robert & Olivier David Zerbib, 2021. "Optimal asset allocation subject to withdrawal risk and solvency constraints," Working Papers hal-03244380, HAL.
  6. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2015. "Pricing and static hedging of American-style knock-in options on defaultable stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 343-360.
  7. Jing Li & Lingfei Li & Rafael Mendoza-Arriaga, 2016. "Additive subordination and its applications in finance," Finance and Stochastics, Springer, vol. 20(3), pages 589-634, July.
  8. Kim, Jinbeom & Leung, Tim, 2016. "Pricing derivatives with counterparty risk and collateralization: A fixed point approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 525-539.
  9. John R. Birge & Lijun Bo & Agostino Capponi, 2018. "Risk-Sensitive Asset Management and Cascading Defaults," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 1-28, February.
  10. Xiao, Tim, 2013. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(4), pages 259-277.
  11. Lijun Bo & Agostino Capponi, 2018. "Portfolio Choice with Market-Credit Risk Dependencies," Papers 1806.07175, arXiv.org.
  12. Cousot, Laurent, 2007. "Conditions on option prices for absence of arbitrage and exact calibration," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3377-3397, November.
  13. Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 1-25.
  14. Xu, Ruxing, 2011. "A lattice approach for pricing convertible bond asset swaps with market risk and counterparty risk," Economic Modelling, Elsevier, vol. 28(5), pages 2143-2153, September.
  15. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  16. Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee, 2019. "Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models," Papers 1905.01706, arXiv.org.
  17. Ning Cai & Yingda Song & Nan Chen, 2017. "Exact Simulation of the SABR Model," Operations Research, INFORMS, vol. 65(4), pages 931-951, August.
  18. Dassios, Angelos & Lim, Jia Wei & Qu, Yan, 2020. "Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds," LSE Research Online Documents on Economics 101765, London School of Economics and Political Science, LSE Library.
  19. Yang, Zhaojun & Zhang, Chunhong, 2015. "Two new equity default swaps with idiosyncratic risk," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 254-273.
  20. Thomas R. Hurd & Zhuowei Zhou, 2011. "Two-factor capital structure models for equity and credit," Papers 1110.5846, arXiv.org.
  21. Jeong‐Hoon Kim & Jungwoo Lee & Song‐Ping Zhu & Seok‐Hyon Yu, 2014. "A multiscale correction to the Black–Scholes formula," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 30(6), pages 753-765, November.
  22. Kevin Kurt & Rudiger Frey, 2021. "Markov-Modulated Affine Processes," Papers 2106.16240, arXiv.org, revised Aug 2022.
  23. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & Jos'e Carlos Dias, 2017. "Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation," Papers 1712.08247, arXiv.org.
  24. Bao, Qunfang & Li, Shenghong & Gong, Donggeng, 2012. "Pricing VXX option with default risk and positive volatility skew," European Journal of Operational Research, Elsevier, vol. 223(1), pages 246-255.
  25. Kay Giesecke & Baeho Kim & Shilin Zhu, 2011. "Monte Carlo Algorithms for Default Timing Problems," Management Science, INFORMS, vol. 57(12), pages 2115-2129, December.
  26. Lijun Bo & Huafu Liao & Yongjin Wang, 2018. "Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching," Papers 1807.05513, arXiv.org.
  27. Fazlollah Soleymani & Andrey Itkin, 2019. "Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method," Papers 1903.00937, arXiv.org.
  28. Aricson Cruz & José Carlos Dias, 2020. "Valuing American-style options under the CEV model: an integral representation based method," Review of Derivatives Research, Springer, vol. 23(1), pages 63-83, April.
  29. Ruxing Xu & Dan Wu & Ronghua Yi, 2016. "Pricing Cdss And Cds Options Under A Regime-Switching Cev Process With Jump To Default," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 253-271.
  30. Chenxu Li, 2014. "Closed-Form Expansion, Conditional Expectation, and Option Valuation," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 487-516, May.
  31. Lee, David, 2022. "Pricing Cancellation Product," MPRA Paper 114147, University Library of Munich, Germany.
  32. Jia‐Hau Guo & Lung‐Fu Chang, 2020. "Repeated Richardson extrapolation and static hedging of barrier options under the CEV model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 974-988, June.
  33. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
  34. Dmitry Muravey, 2017. "Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading," Papers 1703.01574, arXiv.org, revised Jul 2018.
  35. Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.
  36. Baldeaux Jan & Ignatieva Katja & Platen Eckhard, 2014. "A tractable model for indices approximating the growth optimal portfolio," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 1-21, February.
  37. Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci, 2016. "Pricing Bermudan options under local L\'evy models with default," Papers 1604.08735, arXiv.org.
  38. Lingfei Li & Vadim Linetsky, 2015. "Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach," Finance and Stochastics, Springer, vol. 19(4), pages 941-977, October.
  39. Paul Glasserman & Zhenyu Wang, 2011. "Valuing the Treasury's Capital Assistance Program," Management Science, INFORMS, vol. 57(7), pages 1195-1211, July.
  40. M. C. Calvo-Garrido & S. Diop & A. Pascucci & C. V'azquez, 2019. "PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model," Papers 1905.01099, arXiv.org.
  41. Rafael Mendoza-Arriaga & Vadim Linetsky, 2011. "Pricing equity default swaps under the jump-to-default extended CEV model," Finance and Stochastics, Springer, vol. 15(3), pages 513-540, September.
  42. Claudio Fontana & Juan Miguel A. Montes, 2012. "A unified approach to pricing and risk management of equity and credit risk," Papers 1212.5395, arXiv.org, revised May 2013.
  43. Kay Giesecke & Dmitry Smelov, 2013. "Exact Sampling of Jump Diffusions," Operations Research, INFORMS, vol. 61(4), pages 894-907, August.
  44. Angelos Dassios & Jia Wei Lim & Yan Qu, 2020. "Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1497-1526, October.
  45. Dean Fantazzini & Stephan Zimin, 2020. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 19-69, March.
  46. Dias, José Carlos & Vidal Nunes, João Pedro, 2018. "Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable," European Journal of Operational Research, Elsevier, vol. 265(2), pages 559-570.
  47. Jos� Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
  48. Angelos Dassios & Luting Li, 2018. "Explicit Asymptotics on First Passage Times of Diffusion Processes," Papers 1806.08161, arXiv.org.
  49. Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
  50. Michael Schatz & Didier Sornette, 2017. "Uniform Integrability of a Single Jump Local Martingale with State-Dependent Characteristics," Swiss Finance Institute Research Paper Series 17-21, Swiss Finance Institute.
  51. Nan Chen & S. G. Kou, 2009. "Credit Spreads, Optimal Capital Structure, And Implied Volatility With Endogenous Default And Jump Risk," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 343-378, July.
  52. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A family of density expansions for L\'evy-type processes," Papers 1312.7328, arXiv.org.
  53. Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J., 2018. "Local volatility and the recovery rate of credit default swaps," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 1-29.
  54. Fontana, Claudio & Schmidt, Thorsten, 2018. "General dynamic term structures under default risk," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3353-3386.
  55. Bo Young Chang & Greg Orosi, 2016. "Equity Option-Implied Probability of Default and Equity Recovery Rate," Staff Working Papers 16-58, Bank of Canada.
  56. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & José Carlos Dias, 2019. "Pricing Double Barrier Options On Homogeneous Diffusions: A Neumann Series Of Bessel Functions Representation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-24, September.
  57. Ying Jiao & Idris Kharroubi, 2016. "Information uncertainty related to marked random times and optimal investment," Papers 1607.02743, arXiv.org, revised Mar 2017.
  58. Jan-Frederik Mai & Marc Wittlinger, 2013. "Pricing bonds with optional sinking feature using Markov Decision Processes," Papers 1305.5220, arXiv.org.
  59. Zhigang Tong, 2017. "Modelling VIX and VIX derivatives with reducible diffusions," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(2), pages 153-175.
  60. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A Taylor series approach to pricing and implied vol for LSV models," Papers 1308.5019, arXiv.org.
  61. Xiaoyu Tan & Chengxiang Wang & Wei Lin & Jin E. Zhang & Shenghong Li & Xuejun Zhao & Zili Zhang, 2021. "The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 439-457, April.
  62. Campi, Luciano & Cetin, Umut & Danilova, Albina, 2013. "Explicit construction of a dynamic Bessel bridge of dimension 3," LSE Research Online Documents on Economics 45263, London School of Economics and Political Science, LSE Library.
  63. Hilscher, Jens, 2007. "Is the corporate bond market forward looking?," Working Paper Series 800, European Central Bank.
  64. Tian‐Shyr Dai & Chen‐Chiang Fan & Liang‐Chih Liu & Chuan‐Ju Wang & Jr‐Yan Wang, 2022. "A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2103-2134, December.
  65. Andrea De Martino & Edward Manuel Ruiz Crosby & Roberto Stagni, 2017. "A unified framework for pricing credit and equity derivatives," Working Papers 116, Peruvian Economic Association.
  66. Fuzhou Gong & Ting Wang, 2022. "The Variable Volatility Elasticity Model from Commodity Markets," Papers 2203.09177, arXiv.org.
  67. K. Giesecke & H. Kakavand & M. Mousavi, 2011. "Exact Simulation of Point Processes with Stochastic Intensities," Operations Research, INFORMS, vol. 59(5), pages 1233-1245, October.
  68. Matthew Lorig, 2012. "The Exact Smile of some Local Volatility Models," Papers 1207.0750, arXiv.org, revised Nov 2012.
  69. Shi, Yukun & Chen, Ding & Guo, Biao & Xu, Yaofei & Yan, Cheng, 2022. "The information content of CDS implied volatility and associated trading strategies," International Review of Financial Analysis, Elsevier, vol. 83(C).
  70. Sanjiv R. Das & Rangarajan K. Sundaram, 2007. "An Integrated Model for Hybrid Securities," Management Science, INFORMS, vol. 53(9), pages 1439-1451, September.
  71. Sakurai, Yuji & Uchida, Yoshihiko, 2014. "Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 361-373.
  72. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2020. "A martingale representation theorem and valuation of defaultable securities," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1527-1564, October.
  73. Yang, Nian & Chen, Nan & Liu, Yanchu & Wan, Xiangwei, 2017. "Approximate arbitrage-free option pricing under the SABR model," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 198-214.
  74. Matthew Lorig, 2011. "Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach," Papers 1109.0738, arXiv.org, revised Apr 2012.
  75. Câmara, António & Popova, Ivilina & Simkins, Betty, 2012. "A comparative study of the probability of default for global financial firms," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 717-732.
  76. Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014. "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, vol. 18(4), pages 755-789, October.
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