Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model

DOI10.1080/02331934.2021.2013842zbMath1497.91323OpenAlexW4200526879MaRDI QIDQ5093691

Abdullah Karasan, Unnamed Author, Esma Gaygısız

Publication date: 1 August 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2021.2013842

zbMATH Keywords

stochastic volatilityliquiditycredit spreadprobability of default

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Credit risk (91G40) Jump processes on discrete state spaces (60J74)

Cites Work

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads*
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