Pricing risky debts under a Markov-modulated Merton model with completely random measures

DOI10.1007/s10614-007-9117-zzbMath1136.91396OpenAlexW1980092956MaRDI QIDQ928153

John W. Lau, Tak Kuen Siu

Publication date: 11 June 2008

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-007-9117-z

zbMATH Keywords

pricingPoisson random measureMarkov-switchingCompletely random measuresGamma process

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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