Jump-diffusion processes and affine term structure models: additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates
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- Liang, Xue & Wang, Guojing & Dong, Yinghui, 2013. "A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 373-381.
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Econometric models; Bonds - Prices;Statistics
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