Pages that link to "Item:Q5488975"
From MaRDI portal
The following pages link to PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (Q5488975):
Displaying 44 items.
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach (Q320989) (← links)
- Optimal stopping problem in a model with compensated refusal of reward (Q650415) (← links)
- Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526) (← links)
- The early exercise boundary under the jump to default extended CEV model (Q781553) (← links)
- A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
- Dynamic credit investment in partially observed markets (Q889624) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- Statistical inference for reciprocal gamma diffusion process (Q1036702) (← links)
- Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
- Stochastic modeling and fair valuation of drawdown insurance (Q2015656) (← links)
- Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
- A family of density expansions for Lévy-type processes (Q2258531) (← links)
- Systematic equity-based credit risk: A CEV model with jump to default (Q2271610) (← links)
- Valuing convertible bonds based on LSRQM method (Q2320730) (← links)
- Calculating the American options in the default model (Q2371608) (← links)
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach (Q2404186) (← links)
- Pricing Bermudan options under local Lévy models with default (Q2408753) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (Q2806062) (← links)
- MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (Q2831000) (← links)
- TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK (Q2851562) (← links)
- STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS (Q3005959) (← links)
- A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES (Q3008488) (← links)
- Statistical Inference for Student Diffusion Process (Q3068099) (← links)
- TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734) (← links)
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (Q3393976) (← links)
- PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION (Q3393978) (← links)
- Measuring Impact of Random Jumps Without Sample Path Generation (Q3452488) (← links)
- Pricing Options on Defaultable Stocks* (Q3523656) (← links)
- An integral transform connecting spaces of hyperbolic Landau states with a class of weighted Bergman spaces (Q3548448) (← links)
- Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations (Q4579836) (← links)
- A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk (Q4609028) (← links)
- MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH (Q4635040) (← links)
- Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (Q4635249) (← links)
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model (Q4683115) (← links)
- Quantile hedging in a defaultable market with life insurance applications (Q4990512) (← links)
- On model robustness of the regime switching approach for pegged foreign exchange markets (Q5092650) (← links)
- Utility valuation of multi-name credit derivatives and application to CDOs (Q5190134) (← links)
- Spectral representation of transition density of Fisher–Snedecor diffusion (Q5411909) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
- PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS (Q5420699) (← links)
- Discounted optimal stopping problems in first-passage time models with random thresholds (Q5868524) (← links)
- Polyanalytic reproducing Kernels on the quantized annulus (Q5876322) (← links)
- Noncausal affine processes with applications to derivative pricing (Q6146675) (← links)
