A Structural Credit Risk Model with Jumps Based on Uncertainty Theory
This study, within the framework of uncertainty theory, employs an uncertain differential equation with jumps to model the asset value process of a company, establishing a structured model of uncertain credit risk that incorporates jumps. This model is applied to the pricing of two types of credit d...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-03-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/13/6/897 |
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