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

DOI10.1007/978-3-319-50986-0_19zbMATH Open1383.62232OpenAlexW2765794411MaRDI QIDQ4609028FDOQ4609028

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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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)

Cites Work

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Cited In (3)

• Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
• Title not available (Why is that?)
• Risk modelling on liquidations with Lévy processes

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