CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS (Q5420702)
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scientific article; zbMATH DE number 6304161
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS |
scientific article; zbMATH DE number 6304161 |
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CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS (English)
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13 June 2014
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regime switching
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jump-diffusion process
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credit-equity modeling
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credit derivatives
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equity derivatives
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first passage probabilities
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Laplace transforms
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numerical Laplace inversion
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