Structural pricing of CoCos and deposit insurance with regime switching and jumps (Q2036863)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Structural pricing of CoCos and deposit insurance with regime switching and jumps |
scientific article; zbMATH DE number 7365082
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Structural pricing of CoCos and deposit insurance with regime switching and jumps |
scientific article; zbMATH DE number 7365082 |
Statements
Structural pricing of CoCos and deposit insurance with regime switching and jumps (English)
0 references
30 June 2021
0 references
structural model
0 references
regime switching
0 references
jump-diffusion
0 references
first passage time
0 references
matrix Wiener-Hopf factorization
0 references
esscher transform
0 references
CoCos
0 references
deposit insurance
0 references
0 references
0 references
0 references
0 references
0 references
0 references
