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Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/70857
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dc.contributor.authorElliott, R.-
dc.contributor.authorSiu, T.-
dc.date.issued2011-
dc.identifier.citationStochastic Analysis and Applications, 2011; 29(5):824-837-
dc.identifier.issn0736-2994-
dc.identifier.issn1532-9356-
dc.identifier.urihttp://hdl.handle.net/2440/70857-
dc.description.abstractWe 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.-
dc.description.statementofresponsibilityRobert J. Elliott and Tak Kuen Siu-
dc.language.isoen-
dc.publisherMarcel Dekker Inc-
dc.rightsCopyright © Taylor & Francis Group, LLC-
dc.source.urihttp://dx.doi.org/10.1080/07362994.2011.598792-
dc.subjectCoupled PDEs-
dc.subjectDefault times-
dc.subjectHitting time distribution-
dc.subjectProduct density processes-
dc.subjectRegime-switching Merton model.-
dc.titleDefault times in a continuous-time Markovian regime switching model-
dc.typeJournal article-
dc.identifier.doi10.1080/07362994.2011.598792-
pubs.publication-statusPublished-
Appears in Collections:Aurora harvest
Mathematical Sciences publications

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