Structural credit risk model driven by Lévy process under knight uncertainty

As per the projections of conventional credit risk structured model, the risky asset values tend to adhere to the geometric Brownian motion. On the contrary, the risky asset values remain a non-continuous and dynamic ones and jump based on the conditions. Is not possible to measure the real Knight U...

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Detalles Bibliográficos
Autores principales: Tang, Zhenyu, Zhong, Bin, Zhou, Liang, Shen, Chuanhe
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2023
Materias:
Original Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10154764/
https://www.ncbi.nlm.nih.gov/pubmed/37361063
http://dx.doi.org/10.1007/s10479-023-05309-2

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10154764/
https://www.ncbi.nlm.nih.gov/pubmed/37361063
http://dx.doi.org/10.1007/s10479-023-05309-2

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