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  • Search: subject:"Finite-time survival probability"
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Credit default swap 1 Finite-time survival probability 1 First-passage time 1 Lévy process 1 Structural model 1
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Hao, Xuemiao 1 Li, Xuan 1 Shimizu, Yasutaka 1
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Insurance: Mathematics and Economics 1
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Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
Hao, Xuemiao; Li, Xuan; Shimizu, Yasutaka - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 14-23
We study the first-passage time over a fixed threshold for a pure-jump subordinator with negative drift. We obtain a closed-form formula for its survival function in terms of marginal density functions of the subordinator. We then use this formula to calculate finite-time survival probabilities...
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