Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model

L. Overbeck () and J. Weckend ()
Additional contact information
L. Overbeck: University of Gießen, Institute of Mathematics
J. Weckend: University of Gießen

Chapter Chapter 20 in From Statistics to Mathematical Finance, 2017, pp 417-425 from Springer

Abstract: Abstract Regime switching is a well-known approach to incorporate significant changes in the modelling of financial data, like interest rates and default intensities. In the context of one of the standard pricing models, the CIR++model with jumps, we analyse the effect of regime switching on the prices of credit options.

Keywords: Regime Switching; Credit Derivatives Pricing Models; CIR with Jumps (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-50986-0_20

Ordering information: This item can be ordered from
http://www.springer.com/9783319509860

DOI: 10.1007/978-3-319-50986-0_20

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().