Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model
11 Pages Posted: 10 Jan 2017
Date Written: January 9, 2017
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: Suggested Citation