A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives (Q1933756): Difference between revisions
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Latest revision as of 13:49, 16 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives |
scientific article |
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A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives (English)
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25 January 2013
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thinning-dependence structure
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regime switching
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jump-diffusion model
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joint conditional survival probability
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portfolio credit derivatives
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