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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2023
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| Materias: | |
| 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 |