On the Default Probability in a Regime-Switching Regulated Market

被引：0
作者：
Lijun Bo
Yongjin Wang
Xuewei Yang
机构：
[1] Xidian University,Department of Mathematics
[2] Nankai University,School of Business
[3] Nanjing University,School of Management and Engineering
来源：
Methodology and Computing in Applied Probability | 2014年 / 16卷
关键词：
Default time; Laplace transform; Regulated (controlled) market; Regime-switching; Reflected stochastic differential equation; 60H10; 44A10; 91B02;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper considers asset dynamics in a regulated (controlled) market, where the macroeconomic environment is taken into account. A regime-switching reflected stochastic process with two-sided barriers is proposed for modeling asset price dynamics. We study a default problem with the default time being defined as the first passage time of the price dynamics. By solving a pair of interacting ordinary differential equations (ODEs), we obtain an explicit formula for the Laplace transform (LT) of the default time. Some numerical results are given for illustration.
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页码：101 / 113
页数：12
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