Structural pricing of CoCos and deposit insurance with regime switching and jumps
Year of publication: |
2020
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Authors: | Le Courtois, Olivier ; Su, Xiaoshan |
Published in: |
Asia Pacific financial markets. - [Erscheinungsort nicht ermittelbar] : Proquest, ISSN 1573-6946, ZDB-ID 2009834-0. - Vol. 27.2020, 4, p. 477-520
|
Subject: | Structural model | Regime switching | Jump-diffusion | First passage time | Matrix Wiener-Hopf factorization | Esscher transform | CoCos | Deposit insurance | Einlagensicherung | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
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