Equity-credit modeling under affine jump-diffusion models with jump-to-default
Tsz Kin Chung; Yue Kuen Kwok
| Year of publication: |
2014
|
|---|---|
| Authors: | Chung, Tsz Kin ; Kwok, Yue-Kuen |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 2, p. 1-25
|
| Subject: | Credit-sensitive derivatives | jump-to-default | affine jump-diffusion models | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010508080