Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model

Conference paper

Olivier Le Courtois and François Quittard-Pinon

Conférence EUROFIDAI-AFFI, 4ème (Paris, France, 18/12/2006–19/12/2006)

01/12/2006

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Title: Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
Creators: Olivier Le Courtois (Author)
François Quittard-Pinon (Author)
Conference: Conférence EUROFIDAI-AFFI, 4ème (Paris, France, 18/12/2006–19/12/2006)
Identifiers: 9918188109453
Academic Unit: Department of Quantitative Finance & Economics
Language: English
Resource Type: Conference paper
Local Fields: 90617