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A multinomial tree model for pricing credit default swap options

✍ Scribed by Yi-Ping Chang; Ming-Chin Hung; Yi-Chen Ko

Publisher
Springer
Year
2010
Tongue
English
Weight
648 KB
Volume
26
Category
Article
ISSN
0943-4062

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## Abstract This paper studies a Markov chain model that, unlike the existing models, has a stochastic default rate model so as to reflect real world phenomena. We extend the existing Markov chain models as follows: First, our model includes both the economy‐wide and the rating‐specific factors, wh