"Pricing equity default swaps under the jump-to-default extended CEV model."

Rafael Mendoza-Arriaga, Vadim Linetsky (2011)

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DOI: 10.1007/S00780-010-0139-3

access: closed

type: Journal Article

metadata version: 2020-07-22

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Rafael Mendoza-Arriaga, Vadim Linetsky:
Pricing equity default swaps under the jump-to-default extended CEV model. Finance Stochastics 15(3): 513-540 (2011)

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