Credit-equity modeling under a latent Lévy firm process (Q5420702)
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scientific article; zbMATH DE number 6304161
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Credit-equity modeling under a latent Lévy firm process |
scientific article; zbMATH DE number 6304161 |
Statements
CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS (English)
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13 June 2014
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regime switching
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jump-diffusion process
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credit-equity modeling
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credit derivatives
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equity derivatives
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first passage probabilities
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Laplace transforms
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numerical Laplace inversion
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0.8120290040969849
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0.7911140322685242
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0.7663393020629883
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0.7662992477416992
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0.7647987008094788
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