Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 9, 2017 erstellt
Description:
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