Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
Year of publication: |
2015
|
---|---|
Authors: | Xiao, Tim |
Published in: |
International Journal of Financial Markets and Derivatives. - Olney, Bucks : Inderscience, ISSN 1756-7149. - Vol. 4.2015, 1, p. 1-25
|
Publisher: |
Olney, Bucks : Inderscience |
Subject: | jump diffusion | convertible bond | convertible underpricing | convertible arbitrage | default time approach | default probability approach | asset pricing | credit risk modeling |
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