A jump to default extended CEV model: an application of Bessel processes
| Year of publication: |
2006
|
|---|---|
| Authors: | Carr, Peter ; Linetsky, Vadim |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 10.2006, 3, p. 303-330
|
| Publisher: |
Springer |
| Subject: | Default | Credit spread | Corporate bonds | Equity derivatives | Credit derivatives | Implied volatility skew | CEV model | Bessel processes |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005613437