Estimating the structural credit risk model when equity prices are contaminated by trading noises (Q302203): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: A Tale of Two Time Scales / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A framework for valuing corporate securities / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Econometric specification of stochastic discount factor models / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Filtering via Simulation: Auxiliary Particle Filters / rank | |||
Normal rank |
Latest revision as of 07:05, 12 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Estimating the structural credit risk model when equity prices are contaminated by trading noises |
scientific article |
Statements
Estimating the structural credit risk model when equity prices are contaminated by trading noises (English)
0 references
4 July 2016
0 references
particle filtering
0 references
maximum likelihood
0 references
option pricing
0 references
credit risk
0 references
microstructure
0 references