A jump to default extended CEV model: an application of Bessel processes
作者： Peter Carr , Vadim Linetsky
DOI: 10.1007/S00780-006-0012-6
关键词:
摘要: … CEV model. To facilitate comparisons of the standard and jump to default extended CEV models, we … in the standard CEV model (assume no default before time t ≥ 0 and St = S > 0): …
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