Pricing of credit risky debts when the asset prices follow a jump-diffusion process
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Publication:3501078
zbMATH Open1150.62449MaRDI QIDQ3501078FDOQ3501078
Authors: Zijun Guo, Jianxin Yi 
Publication date: 3 June 2008
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- Jump Diffusion Models for Risky Debts: Quality Spread Differentials
- CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
- The debt-relief credit risk bond pricing with time-varying default boundary
- Risk-based premium evaluation with jump diffusion process for PBGC
- Jump-diffusion CIR model and its applications in credit risk
- Valuing default risk for assets value jump processes
- PRICING DEFAULTABLE DEBT: SOME EXACT RESULTS
- Pricing risky debts under a Markov-modulated Merton model with completely random measures
- Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
- A jump-diffusion model for pricing corporate debt securities in a complex capital structure
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