Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
Year of publication: |
2006
|
---|---|
Authors: | Courtois, Olivier Le ; Quittard-Pinon, François |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 13.2006, 1, p. 11-39
|
Publisher: |
Springer |
Subject: | Cumulative default probability | Structural model | Jump-diffusion | Endogenous capital structure | Esscher transform | Kou processes |
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