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Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process
Bai, Yizhou; Wang, Yongjin; Zhang, Haoyan; Zhuo, Xiaoyang - In: Computational economics 60 (2022) 2, pp. 479-527
Persistent link: https://www.econbiz.de/10013380789
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Efficient piecewise trees for the generalized Skew Vasicek model with discontinuous drift
Zhuo, Xiaoyang; Menoukeu-Pamen, Olivier - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10011687043
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On the probability of default in a market with price clustering and jump risk
Song, Shiyu; Wang, Yongjin; Xu, Guangli - In: Mathematics and financial economics 14 (2020) 2, pp. 225-247
Persistent link: https://www.econbiz.de/10012240142