Pricing equity default swaps under the jump-to-default extended CEV model (Q483933): Difference between revisions

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-Vadim Linetsky
@@ Property / author: Vadim Linetsky / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-010-0139-3
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@@ Property / OpenAlex ID @@
+W3125002740
@@ Property / OpenAlex ID: W3125002740 / rank @@
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@@ Property / cites work @@
+Successive derivatives of Whittaker functions with respect to the first parameter
+Normal rank
@@ Property / cites work @@
+Q3150773
@@ Property / cites work: Q3150773 / rank @@
+Normal rank
@@ Property / cites work @@
+The Confluent Hypergeometric Function
@@ Property / cites work: The Confluent Hypergeometric Function / rank @@
+Normal rank
@@ Property / cites work @@
+Systematic equity-based credit risk: A CEV model with jump to default
+Normal rank
@@ Property / cites work @@
+A jump to default extended CEV model: an application of Bessel processes
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@@ Property / cites work @@
+Pricing and Hedging Path-Dependent Options Under the CEV Process
+Normal rank
@@ Property / cites work @@
+Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
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@@ Property / cites work @@
+Lookback options and diffusion hitting times: a spectral expansion approach
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+THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
@@ Property / cites work: THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE / rank @@
+Normal rank
@@ Property / cites work @@
+Q3999270
@@ Property / cites work: Q3999270 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3259158
@@ Property / cites work: Q3259158 / rank @@
+Normal rank