Pricing credit-spread options under a Markov chain model with Stochastic default rate

Article Abstract:

The Markov chain model that, unlike the existing models, has a stochastic default rate model is studied to reflect real world phenomena. The model allows both continuous and discrete movements in credit spreads, even where there exist no changes in credit ratings.

Models, Credit ratings, Markov processes

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Natural gas prices and the gas storage report: public news and volatility in energy futures markets

Article Abstract:

The impact on future price volatility of natural gas by market news is examined. The weekly gas storage report by American gas association was responsible for considerable volatility at the time of its release and after.

Natural Gas, Crude Petroleum and Natural Gas Extraction, Crude petroleum and natural gas

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An efficient approximation method for American exotic options

Article Abstract:

The development of a quadratic approximation scheme for evaluation of options in theKorean stock markets is described.

South Korea, Usage, Evaluation, Stocks, Mathematical models

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