Adelaide Research & Scholarship
Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/70857
| Citations | ||
| Scopus | Web of Science® | Altmetric |
|---|---|---|
|
?
|
?
|
|
| Type: | Journal article |
| Title: | Default times in a continuous-time Markovian regime switching model |
| Author: | Elliott, R. Siu, T. |
| Citation: | Stochastic Analysis and Applications, 2011; 29(5):824-837 |
| Publisher: | Marcel Dekker Inc |
| Issue Date: | 2011 |
| ISSN: | 0736-2994 1532-9356 |
| Statement of Responsibility: | Robert J. Elliott and Tak Kuen Siu |
| Abstract: | We investigate the default time of a firm when a stochastic discount factor is used so that both diffusion and regime switching risks are priced. We establish the relationship between the probability distribution of the default time and the solution of a system of coupled partial differential equations. |
| Keywords: | Coupled PDEs Default times Hitting time distribution Product density processes Regime-switching Merton model. |
| Rights: | Copyright © Taylor & Francis Group, LLC |
| DOI: | 10.1080/07362994.2011.598792 |
| Published version: | http://dx.doi.org/10.1080/07362994.2011.598792 |
| Appears in Collections: | Aurora harvest Mathematical Sciences publications |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.