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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Friederich, T.; Seco, L.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
A General Structural Approach for Credit Modeling under Stochastic Volatility 
Abstract:
This paper assumes a structural credit model with underlying stochastic volatility combining the Black/Cox approach with the Heston model. We model the equity of a company as a barrier call option on its assets. The assets are assumed to follow a stochastic volatility process; this implies an equity model with most documented stylized facts incorporated. We derive the price of this option under a general framework where the barrier and strike are different from each other, allowing for richer f...    »
 
Stichworte:
Barrier Option, Structural Black-Cox, Stochastic Volatility, Method of Moments estimation 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Journal of Financial Transformation 
Jahr:
2011 
Band / Volume:
32 
Seitenangaben Beitrag:
123-132 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein