A jump to default extended CEV model: an application of Bessel processes

DOI10.1007/s00780-006-0012-6zbMath1101.60057OpenAlexW1975665846MaRDI QIDQ854279

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0012-6

zbMATH Keywords

default Bessel processes credit derivatives credit spread CEV model corporate bonds equity derivatives implied volatility skew

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Transition functions, generators and resolvents (60J35) Credit risk (91G40) Classical measure theory (28A99)

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AS 275

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