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Pricing equations in jump-to-default models
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Applied Mathematics and Statistics.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Applied Mathematics and Statistics.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
2014 (English)In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249Article in journal (Refereed) Published
Abstract [en]

We study pricing equations in jump-to-default models, and we provide conditions under which the option price is the unique classical solution, with a special focus on boundary conditions. In particular, we find precise conditions ensuring that the option price at the default boundary coincides with the recovery payment. We also study spatial convexity of the option price, and we explore the connection between preservation of convexity and parameter monotonicity.

Place, publisher, year, edition, pages
2014.
National Category
Mathematics
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URN: urn:nbn:se:uu:diva-283517OAI: oai:DiVA.org:uu-283517DiVA: diva2:919251
Available from: 2016-04-13 Created: 2016-04-13 Last updated: 2017-11-30

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Ekström, Erik

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