Listar por autor "Diop, Sidi"
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PDE Models for the Pricing of a Defaultable Coupon-Bearing Bond Under an Extended JDCEV Model
Calvo-Garrido, María-del-Carmen; Diop, Sidi; Pascucci, Andrea; Vázquez, Carlos (Elsevier, 2021)[Abstract] We consider a two-factor model for the pricing of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default Constant Elasticity of Variance ...