CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS
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Publication:5420702
DOI10.1142/S0219024914500216zbMath1293.91184OpenAlexW2090411059MaRDI QIDQ5420702
Publication date: 13 June 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024914500216
Laplace transformsregime switchingcredit derivativesnumerical Laplace inversionjump-diffusion processequity derivativesfirst passage probabilitiescredit-equity modeling
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Cites Work
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