Assessing Credit with Equity: A CEV Model with Jump to Default

L. Campi, S.Y. Polbennikov and A. Sbuelz
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S.Y. Polbennikov: Tilburg University, Center For Economic Research
A. Sbuelz: Tilburg University, Center For Economic Research

No 2005-27, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Equity; Corporate Bonds; Credit Default Swaps; Constant-Elasticity-of-Variance (CEV) Diffusion; Jump to Default (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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