Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 6508283
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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 |
Statements
Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (English)
0 references
13 November 2015
0 references
jump-diffusion model
0 references
first passage time
0 references
Laplace transform
0 references
iterative algorithm
0 references
regime-switching
0 references
defaultable bond pricing
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.7998871207237244
0 references
0.7767797708511353
0 references
0.7760969996452332
0 references
0.7645846605300903
0 references
0.7474140524864197
0 references
