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A numerical method for pricing spread options on LIBOR rates with a PDE model

✍ Scribed by M. Suárez-Taboada; C. Vázquez

Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
475 KB
Volume
52
Category
Article
ISSN
0895-7177

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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