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Effects of regime switching on pricing credit options in a shifted CIR model. (English) Zbl 1383.62250
Ferger, Dietmar (ed.) et al., From statistics to mathematical finance. Festschrift in honour of Winfried Stute. Cham: Springer (ISBN 978-3-319-50985-3/hbk; 978-3-319-50986-0/ebook). 417-425 (2017).
Summary: 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.
For the entire collection see [Zbl 1383.62010].

##### MSC:
 62P05 Applications of statistics to actuarial sciences and financial mathematics 91G40 Credit risk
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##### References:
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