Valuing credit derivatives in a jump-diffusion model

Applied Mathematics and Computation

Volumn 190, Issue 1, 2007, Pages 627-632

  Hu, Xinhua ^a   Ye, Zhongxing ^a  

^a SHANGHAI JIAO TONG UNIVERSITY   (China)

Author keywords

Credit derivatives; Gaver Stehfest algorithm; Jump diffusion model

Indexed keywords

ALGORITHMS; COMPUTATION THEORY; NUMERICAL METHODS;

CREDIT DERIVATIVES; GAVER-STEHFEST ALGORITHM; JUMP-DIFFUSION MODEL;

MATHEMATICAL MODELS;

EID: 34249782004     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2007.01.088     Document Type: Article

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