| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1144743 | Journal of the Korean Statistical Society | 2012 | 8 Pages |
Abstract
This article investigates the valuation of European option with credit risk in a reduced form model. We assume that the interest rate follows the Vasicek model and the intensity of default is driven by a jump diffusion process. We obtain the closed form formula for the price of the option and provide some numerical illustrations of the results obtained.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xiaonan Su, Wensheng Wang,