Valuing credit derivatives in a jump-diffusion model (Q2383797): Difference between revisions

@@ Property / author @@
-Xin-Hua Hu
@@ Property / author: Xin-Hua Hu / rank @@
-Normal rank
@@ Property / author @@
-Zhong-Xing Ye
@@ Property / author: Zhong-Xing Ye / rank @@
-Normal rank
@@ Property / author @@
+Xin-Hua Hu
@@ Property / author: Xin-Hua Hu / rank @@
+Normal rank
@@ Property / author @@
+Zhong-Xing Ye
@@ Property / author: Zhong-Xing Ye / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+Algorithm 368
@@ Property / describes a project that uses: Algorithm 368 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.amc.2007.01.088
+Normal rank
@@ Property / OpenAlex ID @@
+W2018937205
@@ Property / OpenAlex ID: W2018937205 / rank @@
+Normal rank
@@ Property / cites work @@
+The Fourier-series method for inverting transforms of probability distributions
+Normal rank
@@ Property / cites work @@
+A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
+Normal rank
@@ Property / cites work @@
+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
+Normal rank