Pricing risky debts under a Markov-modulated Merton model with completely random measures (Q928153)
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scientific article; zbMATH DE number 5286476
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| English | Pricing risky debts under a Markov-modulated Merton model with completely random measures |
scientific article; zbMATH DE number 5286476 |
Statements
Pricing risky debts under a Markov-modulated Merton model with completely random measures (English)
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11 June 2008
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Completely random measures
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Gamma process
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Poisson random measure
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Markov-switching
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pricing
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0.8063077330589294
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0.776174783706665
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0.7580538392066956
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0.7528462409973145
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0.750243067741394
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