Yuiji Umezaswa, Mizuho-DL Financial Technology

An extension of CreditGrades model approach with Lévy processes

Abstract:
We proposes an extended CreditGrades model called the Lévy CreditGrades model,
which is driven by a Lévy process. In this setting, quasi closed-form 
formulae for pricing equity options to a reference firm and for calculating 
its survival probabilities are derived.