Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
Year of publication: |
2013-05-21
|
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Authors: | Xiao, Tim |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | jump diffusion model | hybrid financial instrument | convertible bond | convertible underpricing | convertible arbitrage | default time approach | default probability (intensity) approach | asset pricing | credit risk modeling |
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