| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5055198 | Economic Modelling | 2011 | 11 Pages |
Abstract
⺠I propose a new lattice framework for valuing CBs and CBASs with market risk and counterparty risk. ⺠The reduced-form approach is generalized to include a CEV process for equity price prior to default. ⺠A novel default intensity process is construct which is specified as a function of time, stock price, and interest rate. ⺠When valuing asset swaps, counterparty risk is taken into consideration.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ruxing Xu,