Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures
| Year of publication: |
2008
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|---|---|
| Authors: | Lau, John ; Siu, Tak |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 31.2008, 3, p. 255-288
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| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Completely random measures | Gamma process | Poisson Random measure | Markov-switching | Pricing |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005542320