Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
Author:
Funder
NSF of China
CSC scholarship
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
https://link.springer.com/content/pdf/10.1007/s10690-020-09304-6.pdf
Reference50 articles.
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3. Asmussen, S., Avram, F., & Pistorius, M. R. (2004). Russian and American put options under exponential phase-type Lévy models. Stochastic Processes and their Applications, 109(1), 79–111.
4. Ball, C. A., & Torous, W. N. (1983). A simplified jump process for common stock returns. Journal of Financial and Quantitative analysis, 18(1), 53–65.
5. Barlow, M. T., Rogers, L., & Williams, D. (1980). Wiener–Hopf factorization for matrices. In Séminaire de Probabilités XIV 1978/79 (pp. 324–331). Springer.
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