Extended Black and Scholes model under bankruptcy risk (Q2011269)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7138412
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
28 November 2019
0 references
Black and Scholes model
0 references
geometric Brownian motion
0 references
option pricing
0 references
Monte Carlo simulation
0 references
quadratic variation-based estimators
0 references
0.7941755652427673
0 references
0.7576802968978882
0 references
0.7539002299308777
0 references
0.7364035248756409
0 references
0.7359859347343445
0 references
