Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model

Regime switching is a well-known approach to incorporate significant changes in the modelling of financial data, like interest rates and default intensities. In the context of one of the standard pricing models, the CIR model with jumps, we analyse the effect of regime switching on the prices of credit options

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Year of publication:	2017
Authors:	Overbeck, Ludger
Other Persons:	Weckend, Johannes (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory

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