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Title:

A General Structural Approach for 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 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...     »
Keywords:
Barrier Option, Structural Black-Cox, Stochastic Volatility, Method of Moments estimation
Intellectual Contribution:
Discipline-based Research
Journal title:
Journal of Financial Transformation
Year:
2011
Journal volume:
32
Pages contribution:
123-132
Reviewed:
ja
Language:
en
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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