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

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  • Peter Carr
  • Vadim Linetsky

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  • Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330
    DOI: 10.1007/s00780-006-0012-6
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    More about this item

    Keywords

    Default; Credit spread; Corporate bonds; Equity derivatives; Credit derivatives; Implied volatility skew; CEV model; Bessel processes; 60J35; 60J60; 60J65; 60G70; G12; G13;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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