Edgeworth binomial trees were applied to price contingent claims when the underlying return distribution is skewed and leptokurtic, but with the limitation of working only for a limited set of skewness and kurtosis values. Recently, Johnson binomial trees were introduced to accommodate any...

The survival probability term structure has become the main concept in modeling credit risk for pricing, risk management, and investment decisions. The Kth-to-default contract is not only a relatively liquid credit risk instrument but also a vehicle that credit rating agencies employ to...