A closed-form extension to the Black-Cox model (Q4909138)
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scientific article; zbMATH DE number 6143522
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| English | A closed-form extension to the Black-Cox model |
scientific article; zbMATH DE number 6143522 |
Statements
A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL (English)
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12 March 2013
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credit risk
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intensity model
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structural model
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Black-Cox model
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hybrid model
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Parisian options
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ParAsian options
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0.7678483724594116
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0.7541021108627319
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0.7484530806541443
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0.7471374869346619
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