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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Friederich, T.; Seco, L.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Multi-Dimensional 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...    »
 
Keywords:
Credit Models, Barrier Options, Stochastic Volatility, Black-Cox-Model, Heston Model 
Intellectual Contribution:
Discipline-based Research 
Journal title:
ISRN Probability and Statistics 
Year:
2013 
Pages contribution:
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Status:
Verlagsversion / published 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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