Pages that link to "Item:Q3402357"
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The following pages link to Local Volatility Enhanced by a Jump to Default (Q3402357):
Displaying 9 items.
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach (Q320989) (← links)
- Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526) (← links)
- Local volatility and the recovery rate of credit default swaps (Q1657603) (← links)
- Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
- A family of density expansions for Lévy-type processes (Q2258531) (← links)
- A unified approach to pricing and risk management of equity and credit risk (Q2349596) (← links)
- TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK (Q2851562) (← links)
- A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk (Q4609028) (← links)
- PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS (Q5420699) (← links)
