Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122)
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scientific article; zbMATH DE number 6508283
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| English | Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications |
scientific article; zbMATH DE number 6508283 |
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Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (English)
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13 November 2015
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jump-diffusion model
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first passage time
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Laplace transform
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iterative algorithm
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regime-switching
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defaultable bond pricing
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0.7998871207237244
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0.7767797708511353
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0.7760969996452332
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0.7645846605300903
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0.7474140524864197
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