Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk (Q748309)
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scientific article; zbMATH DE number 6496379
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| English | Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk |
scientific article; zbMATH DE number 6496379 |
Statements
Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk (English)
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20 October 2015
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Lévy processes
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inverse first-passage time problem
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quasi-invariant distribution
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counterparty credit risk
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multi-variate first-passage times
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0.7596004009246826
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0.7533721327781677
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0.7381907105445862
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0.7354769110679626
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0.7326952815055847
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