A refracted process in options: a credit valuation application

DOI10.1016/J.ECONLET.2025.112276MaRDI QIDQ6957311zbMATH OpenFDO

Authors Andrew Clare, Carlos Manuel Pinheiro, Alberto Franco Pozzolo, João Miguel Reis

Publication date 16 July 2025

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

optionsbondsloansregime-shift

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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