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A modified structural model for credit risk - MaRDI portal

A modified structural model for credit risk (Q2909350)

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scientific article; zbMATH DE number 6074153
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English
A modified structural model for credit risk
scientific article; zbMATH DE number 6074153

    Statements

    title
    A modified structural model for credit risk (English)
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    author
    Gechun Liang
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    Lishang Jiang
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    publication date
    30 August 2012
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    zbMATH Keywords
    structural model
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    indifference pricing
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    HJB equation
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    Green's function
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    credit spread
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    Identifiers

    zbMATH DE Number
    6074153
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    OpenAlex ID
    W2141902434
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    DOI
    10.1093/IMAMAN/DPR004
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