On the probability of default in a market with price clustering and jump risk
Shiyu Song, Yongjin Wang, Guangli Xu
| Year of publication: |
2020
|
|---|---|
| Authors: | Song, Shiyu ; Wang, Yongjin ; Xu, Guangli |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 14.2020, 2, p. 225-247
|
| Subject: | Probability of default | Sticky double exponential jump diffusion process | Price clustering | Laplace transform | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Clusteranalyse | Cluster analysis | Wahrscheinlichkeitsrechnung | Probability theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-019-00253-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012240142