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A jump to default extended CEV model: an application of Bessel processes

Peter Carr () and Vadim Linetsky ()

Finance and Stochastics, 2006, vol. 10, issue 3, 303-330

Keywords: Default; Credit spread; Corporate bonds; Equity derivatives; Credit derivatives; Implied volatility skew; CEV model; Bessel processes; 60J35; 60J60; 60J65; 60G70; G12; G13 (search for similar items in EconPapers)
Date: 2006
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