Structural pricing of CoCos and deposit insurance with regime switching and jumps
type: Item
instance of: scholarly article
title: Structural pricing of CoCos and deposit insurance with regime switching and jumps
zbMATH Open document ID: 1467.91200
author: Olivier Le Courtois
author: Xiaoshan Su
published in: Asia-Pacific Financial Markets
publication date: 2021-06-30T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J74
zbMATH DE Number: 7365082
zbMATH Keywords: structural model
zbMATH Keywords: regime switching
zbMATH Keywords: jump-diffusion
zbMATH Keywords: first passage time
zbMATH Keywords: matrix Wiener-Hopf factorization
zbMATH Keywords: esscher transform
zbMATH Keywords: CoCos
zbMATH Keywords: deposit insurance
MaRDI profile type: Publication
full work available at URL: s10690-020-09304-6
OpenAlex ID: W2806313491
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DOI: 10.1007/S10690-020-09304-6
description: scientific article; zbMATH DE number 7365082