On the conditional default probability in a regulated market: a structural approach
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Publication:2866382
DOI10.1080/14697680903473278zbMath1277.91181OpenAlexW3123205171MaRDI QIDQ2866382
Xuewei Yang, Dan Tang, Yong Jin Wang, Li Jun Bo
Publication date: 13 December 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903473278
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Cites Work
- On the first passage times of reflected O-U processes with two-sided barriers
- Affine processes and applications in finance
- Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
- Stochastic differential equations with reflecting boundary conditions
- Term Structures of Credit Spreads with Incomplete Accounting Information
- On the transition densities for reflected diffusions
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
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