A credit-risk valuation under the variance-gamma asset return
Year of publication: |
June 2018
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Authors: | Ivanov, Roman V. |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 6.2018, 2, p. 1-25
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Subject: | variance-gamma distribution | credit risk | call option | exponential distribution | shortfall risk | generalized hyperbolic function | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | CAPM | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Derivat | Derivative |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks6020058 [DOI] hdl:10419/195850 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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