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On ltration immersions and credit events

Gapeev, Pavel V. and Jeanblanc, Monique (2008) On ltration immersions and credit events. CDAM Research Reports, LSE-CDAM-2008-07. CDAM, London, UK.

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Abstract

We study a model where two assets are paying dividends with rates changing from one fixed value to another when any credit event occurs. The credit events are associated with the first times when the asset values fall to some given constant levels. The behavior of asset values is described by exponential diffusion processes with random drift rates and independent driving Brownian motions. We obtain closed form expressions for the ex-dividend prices of certain barrier-type contingent claims with structure similar to first- and second-to-default options in credit risk theory.

Item Type: Monograph (Report)
Official URL: http://www.cdam.lse.ac.uk/Reports/Files/cdam-2008-...
Additional Information: © 2008 The Authors
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Sets: Departments > Mathematics
Research centres and groups > Computational, Discrete and Applicable Mathematics@LSE (CDAM)
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: LSE-CDAM-2008-07
Date Deposited: 21 Jan 2009 09:47
URL: http://eprints.lse.ac.uk/22121/

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