A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities

Preprint

1 January 1997

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.39800

Abstract

Since Black and Scholes (1973) and Merton (1974), structural models of credit risk have relied almost exclusively on diffusion processes to model the evolution

Keywords

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