On pricing of corporate securities in the case of jump-diffusion

DOI10.1007/S11766-014-2978-8zbMath1313.91180OpenAlexW1974825997MaRDI QIDQ2514963

Xuemin Ren, Li-Shang Jiang

Publication date: 11 February 2015

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-014-2978-8

zbMATH Keywords

stochastic interest ratedefault riskjump diffusion processcorporate bond

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cites Work

• The Pricing of Options and Corporate Liabilities
• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous

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