Risk

Double-exponential jump-diffusion processes: a structural model of an endogenous default barrier with a rollover debt structure

We extend the framework of Leland, who proposed a structural model of rollover debt structure in a Black-Scholes framework.We apply this to the case of a doubleexponential jump-diffusion process, ...
Risk

Non-parametric calibration of jump–diffusion option pricing models

We present a non-parametric method for calibrating jump–diffusion and, more generally, exponential Lévy models to a finite set of observed option prices. We show that the usual formulations of the ...