Credit-equity modeling under a latent Lévy firm process
Year of publication: |
2014
|
---|---|
Authors: | Kijima, Masaaki ; Siu, Chi Chung |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 3, p. 1-41
|
Subject: | Regime switching | jump-diffusion process | credit-equity modeling | credit derivatives | equity derivatives | first passage probabilities | Laplace transforms | numerical Laplace inversion | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution |
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