Valuing credit derivatives in a jump-diffusion model (Q2383797): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1016/j.amc.2007.01.088 / rank | |||
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| Property / OpenAlex ID: W2018937205 / rank | |||
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| Property / cites work | |||
| Property / cites work: The Fourier-series method for inverting transforms of probability distributions / rank | |||
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| Property / cites work: A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives / rank | |||
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| Property / cites work: A Jump-Diffusion Model for Option Pricing / rank | |||
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| Property / cites work: First passage times of a jump diffusion process / rank | |||
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| Property / cites work: On Cox processes and credit risky securities / rank | |||
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Latest revision as of 14:56, 26 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing credit derivatives in a jump-diffusion model |
scientific article |
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Valuing credit derivatives in a jump-diffusion model (English)
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19 September 2007
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Credit derivatives
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jump-diffusion model
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Gaver-Stehfest algorithm
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