The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier (Q5078105)
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scientific article; zbMATH DE number 7530016
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier |
scientific article; zbMATH DE number 7530016 |
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The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier (English)
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20 May 2022
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defaultable bond
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jump-diffusion process
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Laplace transform
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regime switching
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stochastic default barrier
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0.91928804
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0.9053854
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0.90094745
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0.89844173
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0.88446516
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0.88392305
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