On Meshfree Collocation to Compute the Probability of Default under a Regime-Switching Synchronous-Jump Tempered Stable Lévy Model

Davood Damircheli, Mohsen Razzaghi, Seyed-Mohammad-Mahdi Kazemi +1

In the paper [Hainaut, D. and Colwell, D.B., {\rm A structural model for credit risk with switching processes and synchronous jumps}, The European Journal of Finance 22(11) (2016):…