Pricing of contingent claims in a two-dimensional model with random dividends∗
نویسندگان
چکیده
We study a model of a financial market, in which two risky assets are paying dividends with rates, changing from one fixed value to another when some credit event occurs. The credit events are associated with the first times at which the asset values fall below some given constant levels. The behavior of the asset values is described by exponential diffusion processes with random drift rates and independent driving Brownian motions. We obtain closed form expressions for the rational prices of certain European and barriertype contingent claims whose structure is similar to the firstand the second-to-default options in credit risk theory.
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