Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
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Publication:878214
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
jump-diffusion; Esscher transform; structural model; cumulative default probability; endogenous capital structure; Kou processes
60J99: Markov processes
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