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zbMath1224.91032MaRDI QIDQ3073387

Dan Zhu, Xiang-Qun Yang

Publication date: 5 February 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

options martingale approach jump-diffusion model convertible bond geometric Brownian motion, pricing formulas

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

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