On the probability of default in a market with price clustering and jump risk
Year of publication: |
2020
|
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Authors: | Song, Shiyu ; Wang, Yongjin ; Xu, Guangli |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 14.2020, 2, p. 225-247
|
Subject: | Probability of default | Sticky double exponential jump diffusion process | Price clustering | Laplace transform | Optionspreistheorie | Option pricing theory | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process |
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