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

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+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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+TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
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+A self-exciting threshold jump-diffusion model for option valuation
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+Threshold models in non-linear time series analysis
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+Q4839941
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+Option pricing under threshold autoregressive models by threshold Esscher transform
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+Optimal portfolio in a continuous-time self-exciting threshold model
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+Option Pricing with Threshold Diffusion Processes
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+Pricing double barrier options under a volatility regime-switching model with psychological barriers
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+Local Volatility Enhanced by a Jump to Default
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+Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
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+Generalized second order differential operators and their lateral conditions
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+THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
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+Brownian Motion, Martingales, and Stochastic Calculus
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+Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
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+Q4794126
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+Pricing and Hedging Path-Dependent Options Under the CEV Process
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+The Confluent Hypergeometric Function
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