Information reduction via level crossings in a credit risk model

Robert Jarrow (), Philip Protter and A. Sezer ()

Finance and Stochastics, 2007, vol. 11, issue 2, 195-212

Keywords: Reduced form models; Structural models; Credit risk; Information reduction; Diffusion; Level-crossings; Brownian motion with drift; 60G55; 60G60; G13; D82 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s00780-006-0033-1

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