Pricing defaultable bonds under Hawkes jump-diffusion processes
Li Chen, Yong Ma, Weilin Xiao
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Li ; Ma, Yong ; Xiao, Weilin |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 47.2022, 2, p. 1-8
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| Subject: | Affine jump-diffusion | Clustering property | Defaultable bonds | Hawkes processes | Anleihe | Bond | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Unternehmensanleihe | Corporate bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.102738 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013553778