On valuation with stochastic proportional Hazard model in finance
Akira Yamazaki
| Year of publication: |
2013
|
|---|---|
| Authors: | Yamazaki, Akira |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 3, p. 1-34
|
| Subject: | Event risk | proportional hazard model | Gaussian process | affine process | quadratic Gaussian process | Lévy process | time-changed Lévy process | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Statistische Bestandsanalyse | Duration analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009756036