An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
No abstract is available for this item.
Volume (Year): 11 (2007)
Issue (Month): 3 (July)
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References listed on IDEAS
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- A. Kyprianou & B. Surya, 2007. "Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels," Finance and Stochastics, Springer, vol. 11(1), pages 131-152, January.
- Leland, Hayne E & Toft, Klaus Bjerre, 1996.
" Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,"
Journal of Finance,
American Finance Association, vol. 51(3), pages 987-1019, July.
- Hayne E. Leland and Klaus Bjerre Toft., 1995. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Research Program in Finance Working Papers RPF-259, University of California at Berkeley.
- Dufresne, Francois & Gerber, Hans U., 1991. "Risk theory for the compound Poisson process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 51-59, March.
- Ernesto Mordecki, 2002. "Optimal stopping and perpetual options for Lévy processes," Finance and Stochastics, Springer, vol. 6(4), pages 473-493. Full references (including those not matched with items on IDEAS)
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