کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155607 | 958750 | 2013 | 38 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Default swap games driven by spectrally negative Lévy processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default termination. Under a structural credit risk model based on spectrally negative Lévy processes, we apply the principles of smooth and continuous fit to identify the equilibrium exercise strategies for the buyer and the seller. We then rigorously prove the existence of the Nash equilibrium and compute the contract value at equilibrium. Numerical examples are provided to illustrate the impacts of default risk and other contractual features on the players’ exercise timing at equilibrium.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 2, February 2013, Pages 347–384
Journal: Stochastic Processes and their Applications - Volume 123, Issue 2, February 2013, Pages 347–384
نویسندگان
Masahiko Egami, Tim Leung, Kazutoshi Yamazaki,