Stock price default boundary : a Black-Cox model approach
Yunkun Shi, Charalampos Stasinakis, Yaofei Xu, Cheng Yan, Xuan Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Shi, Yunkun ; Stasinakis, Charalampos ; Xu, Yaofei ; Yan, Cheng ; Zhang, Xuan |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 83.2022, p. 1-11
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| Subject: | Credit default swap | Default boundary | Implied volatility | Options | Unscented Kalman filter | Kreditderivat | Credit derivative | Volatilität | Volatility | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | Insolvenz | Insolvency | Zustandsraummodell | State space model | Derivat | Derivative | Schätzung | Estimation | Swap |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102284 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013455157