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Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael
;
Linetsky, Vadim
- In:
Finance and Stochastics
15
(
2011
)
3
,
pp. 513-540
Persistent link: https://www.econbiz.de/10009324934
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A jump to default extended CEV model: an application of Bessel processes
Carr, Peter
;
Linetsky, Vadim
- In:
Finance and Stochastics
10
(
2006
)
3
,
pp. 303-330
Persistent link: https://www.econbiz.de/10005613437
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