A jump to default extended CEV model: An application of Bessel processes

Finance and Stochastics

Volumn 10, Issue 3, 2006, Pages 303-330

  Carr, Peter ^a   Linetsky, Vadim ^b  

^a NEW YORK UNIVERSITY   (United States)

^b Northwestern University   (United States)

Author keywords

Bessel processes; CEV model; Corporate bonds; Credit derivatives; Credit spread; Default; Equity derivatives; Implied volatility skew

Indexed keywords

EID: 33747880004     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-006-0012-6     Document Type: Article

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