CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (Q3393976)
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scientific article; zbMATH DE number 5599340
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| English | CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK |
scientific article; zbMATH DE number 5599340 |
Statements
CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (English)
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28 August 2009
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credit risk
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yield spreads
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capital structure
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implied volatility
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jump diffusion
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smooth pasting
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0.8117665648460388
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0.8054103851318359
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0.7942973971366882
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0.7802895307540894
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0.7784853577613831
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