Information reduction via level crossings in a credit risk model
| Year of publication: |
2007
|
|---|---|
| Authors: | Jarrow, Robert ; Protter, Philip ; Sezer, A. |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 2, p. 195-212
|
| Publisher: |
Springer |
| Subject: | Reduced form models | Structural models | Credit risk | Information reduction | Diffusion | Level-crossings | Brownian motion with drift |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005613441