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Pricing options with credit risk in a reduced form model

✍ Scribed by Su, Xiaonan; Wang, Wensheng

Book ID
119299267
Publisher
Elsevier
Year
2012
Tongue
English
Weight
277 KB
Volume
41
Category
Article
ISSN
1226-3192

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✍ Jangkoo Kang; Hwa-Sung Kim πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 137 KB πŸ‘ 1 views

## 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