Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion (Q5001154)
From MaRDI portal
scientific article; zbMATH DE number 7372419
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion |
scientific article; zbMATH DE number 7372419 |
Statements
Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion (English)
0 references
16 July 2021
0 references
Markov-modulated jump-diffusion model
0 references
credit spread
0 references
business cycle
0 references
0 references
0 references
0 references
0 references
0 references
