Multiscale analysis on the pricing of intensity-based defaultable bonds

DOI10.1155/2013/287425zbMath1266.91024OpenAlexW2125385351WikidataQ59002616 ScholiaQ59002616MaRDI QIDQ2375480

Yong-Ki Ma, Jeong-Hoon Kim, Sun-Hwa Cho

Publication date: 14 June 2013

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/287425

Mathematics Subject Classification ID

Related Items

Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model

Cites Work

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