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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Friederich, T.; Krayzler, M.; Seco, L.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Structural Credit Modeling under Stochastic Volatility 
Abstract:
This paper presents a structural credit model with underlying stochastic volatility, a CIR process, combining the Black/Cox framework with the Heston Model. We allow to calibrate a Heston Model for a non-observable process as underlying of the Black/Cox Model. A closed-form solution for the price of a down-and-out call option on the assets with the debt as barrier and strike price is derived using the concept of optional sampling. Furthermore, estimators are derived with the Method of Moments fo...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
International Journal of Statistics and Probability 
Jahr:
2012 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
20 - 35 
Reviewed:
ja 
Sprache:
en 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Nein 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein