Pricing American put options on defaultable bonds (Q1421692)
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scientific article; zbMATH DE number 2036997
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American put options on defaultable bonds |
scientific article; zbMATH DE number 2036997 |
Statements
Pricing American put options on defaultable bonds (English)
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3 February 2004
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defaultable bond
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diffusion process with a jump
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optimal stopping problem
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pricing American put
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