Default swap games driven by spectrally negative Lévy processes
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Publication:1933591
DOI10.1016/J.SPA.2012.09.008zbMath1255.91418arXiv1105.0238OpenAlexW1753444463MaRDI QIDQ1933591
Kazutoshi Yamazaki, Masahiko Egami, Tim Leung
Publication date: 24 January 2013
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.0238
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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