Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model

DOI10.1007/s10690-007-9033-1zbMath1131.91354MaRDI QIDQ878214

François Quittard-Pinon, Olivier Le Courtois

Publication date: 26 April 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9033-1

zbMATH Keywords

jump-diffusion; Esscher transform; structural model; cumulative default probability; endogenous capital structure; Kou processes

Mathematics Subject Classification ID

60J99: Markov processes

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Cites Work

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