On pricing of credit spread options

European Journal of Operational Research ◽

10.1016/j.ejor.2003.12.005 ◽

2005 ◽

Vol 163 (1) ◽

pp. 52-64 ◽

Author(s):

Rosella Giacometti ◽

Mariangela Teocchi

Keyword(s):

Credit Spread ◽

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A Stochastic Correlation Model with Time Change for Pricing Credit Spread Options

Journal of Mathematical Finance ◽

10.4236/jmf.2017.72024 ◽

2017 ◽

Vol 07 (02) ◽

pp. 445-466

Author(s):

Zhigang Tong ◽

Allen Liu

Keyword(s):

Time Change ◽

Credit Spread ◽

Correlation Model ◽

Spread Options ◽

Stochastic Correlation

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Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion

Quantitative Finance ◽

10.1080/14697688.2015.1058520 ◽

2015 ◽

Vol 16 (4) ◽

pp. 573-592 ◽

Author(s):

Son-Nan Chen ◽

Pao-Peng Hsu ◽

Chang-Yi Li

Keyword(s):

Jump Diffusion ◽

Credit Spread ◽

Two Dimensional ◽

Spread Options ◽

Term Structures ◽

Risky Bonds ◽

Markov Modulated

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Pricing credit spread options under a Markov chain model with stochastic default rate

Journal of Futures Markets ◽

10.1002/fut.20107 ◽

2004 ◽

Vol 24 (7) ◽

pp. 631-648 ◽

Author(s):

Jangkoo Kang ◽

Hwa-Sung Kim

Keyword(s):

Markov Chain ◽

Markov Chain Model ◽

Credit Spread ◽

Chain Model ◽

Spread Options ◽

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Pricing Credit Spread Options: A 2-factor HW-BK Algorithm

The Art of Credit Derivatives ◽

10.1002/9781119206620.ch5 ◽

2015 ◽

pp. 29-38 ◽

Keyword(s):

Credit Spread ◽

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A tree model for pricing credit spread options subject to equity, and market risk

2009 ISECS International Colloquium on Computing, Communication, Control, and Management ◽

10.1109/cccm.2009.5267993 ◽

2009 ◽

Author(s):

Ruxing Xu ◽

Shenghong Li

Keyword(s):

Market Risk ◽

Credit Spread ◽

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Pricing of spread options on stochastically correlated underlyings

The Journal of Computational Finance ◽

10.21314/jcf.2009.205 ◽

2009 ◽

Vol 12 (3) ◽

pp. 31-61 ◽

Author(s):

Marcos Escobar ◽

Barbara Götz ◽

Luis Seco ◽

Rudi Zagst

Keyword(s):

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Credit Spread Widening Risk in Portfolios: Pricing Techniques and Sensitivity Measures

SSRN Electronic Journal ◽

10.2139/ssrn.1088965 ◽

2007 ◽

Author(s):

Aldo Letizia

Keyword(s):

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Leverage Choice and Credit Spread Dynamics When Managers Risk Shift

SSRN Electronic Journal ◽

10.2139/ssrn.1343725 ◽

2009 ◽

Author(s):

Murray D. Carlson ◽

Ali Lazrak

Keyword(s):

Credit Spread ◽

Spread Dynamics

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Jump Risk Premia in Short-Term Spread Options: Evidence from the German Electricity Market

SSRN Electronic Journal ◽

10.2139/ssrn.1403817 ◽

2009 ◽

Author(s):

Jan Marckhoff ◽

Matthias Muck

Keyword(s):

Electricity Market ◽

Risk Premia ◽

Jump Risk ◽

Term Spread ◽

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The Equity-Smile and Credit-Spread Puzzles: Are They One and the Same?

SSRN Electronic Journal ◽

10.2139/ssrn.1568734 ◽

2010 ◽

Author(s):

Gordon Gemmill ◽

Yiran Yang

Keyword(s):

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