Structural pricing of CoCos and deposit insurance with regime switching and jumps
Olivier Le Courtois, Xiaoshan Su
| Year of publication: |
2020
|
|---|---|
| Authors: | Le Courtois, Olivier ; Su, Xiaoshan |
| Subject: | Structural model | Regime switching | Jump-diffusion | First passage time | Matrix Wiener-Hopf factorization | Esscher transform | CoCos | Deposit insurance | Einlagensicherung | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-020-09304-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012390326