A jump to default extended CEV model: an application of Bessel processes.

Peter Carr Vadim Linetsky

Published in: Finance Stochastics (2006)

Keyphrases

probabilistic model
experimental data
computational model
mathematical model
process model
object model
stochastic processes
database
metamodel
conceptual model
hierarchical structure
statistical model
model selection
image analysis
similarity measure
high level
computer vision
information retrieval
real time