Pricing Defaultable Bonds in a Markov Modulated Market
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Publication:2893288
DOI10.1080/07362994.2012.668442zbMath1248.91039OpenAlexW2019397462MaRDI QIDQ2893288
Mrinal K. Ghosh, Srikanth K. Iyer, Tamal Banerjee
Publication date: 20 June 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2012.668442
Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)
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