Default times in a continuous-time Markovian regime-switching model

Robert J. Elliott; Tak Kuen Siu

doi:10.1080/07362994.2011.598792

Default times in a continuous-time Markovian regime-switching model

Robert J. Elliott, Tak Kuen Siu

Department of Applied Finance

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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.

Original language	English
Pages (from-to)	824-837
Number of pages	14
Journal	Stochastic Analysis and Applications
Volume	29
Issue number	5
DOIs	https://doi.org/10.1080/07362994.2011.598792
Publication status	Published - Sept 2011

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Default times in a continuous-time Markovian regime-switching model

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