Polynomial approximation of discounted moments
Chenyu Zhao, Misha van Beek, Peter Spreij, Makhtar Ba
| Year of publication: |
2025
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|---|---|
| Authors: | Zhao, Chenyu ; Beek, Misha van ; Spreij, Peter ; Ba, Makhtar |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 29.2025, 1, p. 63-95
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| Subject: | Credit models | Generator | Hedging | Markov processes | Pricing | Resolvent | Short-rate models | Markov-Kette | Markov chain | Kreditrisiko | Credit risk | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-024-00550-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015394774