A closed-form extension to the Black-Cox model
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Publication:4909138
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Cites work
- A jump to default extended CEV model: an application of Bessel processes
- Brownian Excursions and Parisian Barrier Options
- Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
- Credit risk: Modelling, valuation and hedging
- Default risk, bankruptcy procedures and the market value of life insurance liabilities
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