Local Volatility Enhanced by a Jump to Default
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/090750731
Reference12 articles.
1. Prices of State-Contingent Claims Implicit in Option Prices
2. SELF-DECOMPOSABILITY AND OPTION PRICING
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