On a convergent power series method to price defaultable bonds in a Vašíček-CIR model (Q2113272)
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scientific article; zbMATH DE number 7488312
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a convergent power series method to price defaultable bonds in a Vašíček-CIR model |
scientific article; zbMATH DE number 7488312 |
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On a convergent power series method to price defaultable bonds in a Vašíček-CIR model (English)
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11 March 2022
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credit risk
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defaultable bond pricing
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non-affine models
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analytical functions
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hazard process
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change of numéraire
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