Equity-credit modeling under affine jump-diffusion models with jump-to-default
Year of publication: |
2014
|
---|---|
Authors: | Chung, Tsz Kin ; Kwok, Yue-Kuen |
Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 2, p. 1-25
|
Subject: | Credit-sensitive derivatives | jump-to-default | affine jump-diffusion models | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve |
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