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Pricing Model of Credit Default Swap Based on Jump-Diffusion Process and Volatility with Markov Regime Shift.
Xianghua Liu
Xueping Xiao
Published in:
WHICEB (2013)
Keyphrases
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pricing model
stock price
jump diffusion process
bi level
convertible bonds
stock market
markov chain
dynamic pricing
financial markets
real option
exchange rate
credit scoring
historical data
credit risk
non stationary
news articles
option pricing
supply chain
credit card
risk analysis
stock exchange
steady state