On the conditional default probability in a regulated market: a structural approach-Reference-Cited by-同舟云学术

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On the conditional default probability in a regulated market: a structural approach

Published:2010-05-11 Issue:12 Volume:11 Page:1695-1702
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bo Lijun¹,Tang Dan²,Wang Yongjin³,Yang Xuewei²

Affiliation:

1. a Department of Mathematics , Xidian University , 710071 Xi'an , PR China

2. b School of Mathematical Sciences and TEDA Institute of Computational Finance , Nankai University , 300071 Tianjin , PR China

3. c School of Business , Nankai University , 300071 Tianjin , PR China

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697680903473278

Reference15 articles.

1. Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1

2. On the first passage times of reflected O-U processes with two-sided barriers

3. Affine processes and applications in finance

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