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|Scopus||Web of Science®||Altmetric|
|Title:||Default times in a continuous-time Markovian regime switching model|
|Citation:||Stochastic Analysis and Applications, 2011; 29(5):824-837|
|Publisher:||Marcel Dekker Inc|
|Robert J. Elliott and Tak Kuen Siu|
|Abstract:||We investigate the default time of a firm when a stochastic discount factor is used so that both diffusion and regime switching risks are priced. We establish the relationship between the probability distribution of the default time and the solution of a system of coupled partial differential equations.|
Hitting time distribution
Product density processes
Regime-switching Merton model.
|Rights:||Copyright © Taylor & Francis Group, LLC|
|Appears in Collections:||Aurora harvest|
Mathematical Sciences publications
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