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Local Volatility Enhanced by a Jump to Default - MaRDI portal

Local Volatility Enhanced by a Jump to Default (Q3402357)

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Local Volatility Enhanced by a Jump to Default
scientific article

    Statements

    title
    Local Volatility Enhanced by a Jump to Default (English)
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    author
    Peter Carr
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    Dilip B. Madan
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    publication date
    3 February 2010
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    zbMATH Keywords
    recovering default free option prices
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    truncated power prices
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    Weibull distribution
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    default adjusted drifts
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    Identifiers

    DOI
    10.1137/090750731
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    Mathematics Subject Classification ID
    91G20
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    60G99
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    91B70
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    zbMATH DE Number
    5665830
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    OpenAlex ID
    W3122537902
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