A Lévy-driven asset price model with bankruptcy and liquidity risk
DOI10.1007/978-3-319-50986-0_19zbMATH Open1383.62232OpenAlexW2765794411MaRDI QIDQ4609028FDOQ4609028
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
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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
- Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
- Extended Black and Scholes model under bankruptcy risk
- Bankruptcy probability of a lever company: lookback option pricing method
- Title not available (Why is that?)
- 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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