Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model (Q5093691)
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scientific article; zbMATH DE number 7565464
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model |
scientific article; zbMATH DE number 7565464 |
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Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model (English)
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1 August 2022
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liquidity
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stochastic volatility
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probability of default
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credit spread
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