Pricing formulae for constant proportion debt obligation notes: the Laplace transform technique (Q2349598)
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scientific article; zbMATH DE number 6446644
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| English | Pricing formulae for constant proportion debt obligation notes: the Laplace transform technique |
scientific article; zbMATH DE number 6446644 |
Statements
Pricing formulae for constant proportion debt obligation notes: the Laplace transform technique (English)
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17 June 2015
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constant proportional debt obligation
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Laplace transform
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double exponential jump diffusion process
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0.7900616526603699
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0.7418971061706543
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0.7401324510574341
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0.7382280826568604
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0.733441948890686
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