Local Volatility Enhanced by a Jump to Default (Q3402357): Difference between revisions
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Latest revision as of 14:33, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Local Volatility Enhanced by a Jump to Default |
scientific article |
Statements
Local Volatility Enhanced by a Jump to Default (English)
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3 February 2010
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recovering default free option prices
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truncated power prices
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Weibull distribution
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default adjusted drifts
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