Pricing risky debts under a Markov-modulated Merton model with completely random measures (Q928153)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing risky debts under a Markov-modulated Merton model with completely random measures |
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Pricing risky debts under a Markov-modulated Merton model with completely random measures (English)
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11 June 2008
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Completely random measures
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Gamma process
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Poisson random measure
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Markov-switching
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pricing
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