A Regime Switching Jump-Diffusion Model and its Application to Credit Risk and Option Pricing
Publication date
Authors
DOI
Document Type
Master Thesis
Metadata
Show full item recordCollections
License
CC-BY-NC-ND
Abstract
Keywords
Regime Switching Jump-Diffusion, Credit Risk, Calibration, MLE, EM, Inverse Problem, Probabilities of Default, Option Pricing, SA, FFT