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Title:

Multi-Dimensional Structural Credit Modeling under Stochastic Volatility

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Friederich, T.; Seco, L.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
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:
doi:10.1155/2013/851419
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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