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

11 Pages Posted: 10 Jan 2017

Date Written: January 9, 2017

Abstract

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.

Keywords: Regime Switching, Credit Derivatives Pricing Models, CIR with Jumps

JEL Classification: G13

Suggested Citation

Overbeck, Ludger and Weckend, Johannes, Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model (January 9, 2017). Available at SSRN: https://ssrn.com/abstract=2895943 or http://dx.doi.org/10.2139/ssrn.2895943

Ludger Overbeck (Contact Author)

University of Giessen ( email )

Institut of Mathematics
Giessen, 35394
Germany

Johannes Weckend

Independent ( email )

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