Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526): Difference between revisions

@@ Property / author @@
-Yong Jin Wang
@@ Property / author: Yong Jin Wang / rank @@
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+Yong Jin Wang
@@ Property / author: Yong Jin Wang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2018.04.039
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+W2805794920
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@@ Property / cites work @@
+A jump to default extended CEV model: an application of Bessel processes
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+Pricing equity default swaps under the jump-to-default extended CEV model
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+PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
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+CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
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+Optimal portfolio in a continuous-time self-exciting threshold model
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