Precautionary measures for credit risk management in jump models (Q5411898): Difference between revisions

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+W1986272143
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+.0595
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+Russian and American put options under exponential phase-type Lévy models.
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+CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
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+Jump diffusion processes and their applications in insurance and finance
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+First passage times of a jump diffusion process
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+Applied stochastic control of jump diffusions.
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+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
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+Evaluating Scale Functions of Spectrally Negative Lévy Processes
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+Publication:5411898