Extended Black and Scholes model under bankruptcy risk (Q2011269)
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scientific article; zbMATH DE number 7138412
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| English | Extended Black and Scholes model under bankruptcy risk |
scientific article; zbMATH DE number 7138412 |
Statements
Extended Black and Scholes model under bankruptcy risk (English)
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28 November 2019
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Black and Scholes model
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geometric Brownian motion
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option pricing
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Monte Carlo simulation
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quadratic variation-based estimators
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