Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano - In: Finance and Stochastics 18 (2014) 4, pp. 755-789
<Para ID="Par1">We obtain an explicit expression for the price of a vulnerable claim written on a stock whose predefault dynamics follows a Lévy-driven SDE. The stock jumps to zero at default with a hazard rate given by a negative power of the stock price. We recover the characteristic function of the terminal...</para>
