Pricing equations in jump-to-default models
Year of publication: |
2014
|
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Authors: | Dyrssen, Hannah ; Ekström, Erik ; Tysk, Johan |
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. 1-13
|
Subject: | Jump-to-default model | credit risk | martingales | the Black-Scholes equation | Kreditrisiko | Credit risk | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Martingal | Martingale |
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