Local volatility enhanced by a jump to default

SIAM Journal on Financial Mathematics

Volumn 1, Issue 1, 2010, Pages 2-15

  Carr, Peter ^a   Madan, Dilip B ^b  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF MARYLAND   (United States)

Author keywords

Default adjusted drifts; Recovering default free option prices; Truncated power prices; Weibull distribution

Indexed keywords

EID: 84871051304     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/090750731     Document Type: Article

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