A Lévy-driven asset price model with bankruptcy and liquidity risk

DOI10.1007/978-3-319-50986-0_19MaRDI QIDQ4609028zbMATH OpenOpenAlexFDO

Authors Patrick Bäurer, Ernst Eberlein

Publication date 29 March 2018

Published in From Statistics to Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-50986-0_19

zbMATH Keywords

liquidity riskasset price model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(9)

• Pricing vulnerable claims in a Lévy-driven model
• Extended Black and Scholes model under bankruptcy risk
• Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
• Bankruptcy probability of a lever company: lookback option pricing method
• scientific article; zbMATH DE number 6472298 (Why is no real title available?)
• Dynamics of bankrupt stocks
• Risk modelling on liquidations with Lévy processes
• The effects of asset liquidity on dynamic sell-out and bankruptcy decisions
• An analytical valuation framework for financial assets with trading suspensions

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