원문정보
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초록
영어
This paper shows that (i) CGG model can apply for structral model, (ii) intensity or hazard rate model is expressed from strutral framework, (iii) a pure intensity model cannot obtain (iv) even without jumps, rich class of intensity can be obtained through the change of filtration.
목차
Abstract
1. Introduction
2. Review on Model
3. The Pricing Measure of Collin-Dufresne, Goldstein and Gugonnier (2004)
4. Applications of Spectrally Negative Jump Levy Process
5. The Effect of Information on the Bond Pricing:Hybrid Model(intensity+Hazard )
References
1. Introduction
2. Review on Model
3. The Pricing Measure of Collin-Dufresne, Goldstein and Gugonnier (2004)
4. Applications of Spectrally Negative Jump Levy Process
5. The Effect of Information on the Bond Pricing:Hybrid Model(intensity+Hazard )
References
저자정보
참고문헌
자료제공 : 네이버학술정보