Valuing credit derivatives in a jump-diffusion model (Q2383797)

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Valuing credit derivatives in a jump-diffusion model
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    title
    Valuing credit derivatives in a jump-diffusion model (English)
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    author
    Xin-Hua Hu
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    Zhong-Xing Ye
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    publication date
    19 September 2007
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    Mathematics Subject Classification ID
    91G20
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    60J60
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    60J70
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    zbMATH DE Number
    5192480
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    zbMATH Keywords
    Credit derivatives
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    jump-diffusion model
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    Gaver-Stehfest algorithm
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