Search Results - subject:"conditional probability density"

Defaultable claims in switching models with partial information

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012030897

PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL

GAPEEV, PAVEL V.; JEANBLANC, MONIQUE - In: International Journal of Theoretical and Applied … 13 (2010) 07, pp. 1001-1017

probability density derived given the filtration generated by the underlying asset price processes. … European contingent claims through the filtering estimates of occurrence of the switching times and their conditional …

Persistent link: https://www.econbiz.de/10008725901

Bivariate generalized exponential distribution

Kundu, Debasis; Gupta, Rameshwar D. - In: Journal of Multivariate Analysis 100 (2009) 4, pp. 581-593

Recently it has been observed that the generalized exponential distribution can be used quite effectively to analyze lifetime data in one dimension. The main aim of this paper is to define a bivariate generalized exponential distribution so that the marginals have generalized exponential...

Persistent link: https://www.econbiz.de/10005221550