Default times in a continuous time Markov chain economy
DOI10.1080/1350486X.2012.755825zbMATH Open1396.91821OpenAlexW2031858479MaRDI QIDQ4584997FDOQ4584997
Robert J. Elliott, John van der Hoek
Publication date: 5 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2012.755825
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Cites Work
- Introduction to Matrix Analytic Methods in Stochastic Modeling
- Functional Integration and Partial Differential Equations. (AM-109)
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- American option prices in a Markov chain market model
- Credit risk: Modelling, valuation and hedging
- Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
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