Precautionary measures for credit risk management in jump models
From MaRDI portal
Publication:5411898
DOI10.1080/17442508.2011.653566zbMath1288.91187arXiv1004.0595OpenAlexW1986272143MaRDI QIDQ5411898
Kazutoshi Yamazaki, Masahiko Egami
Publication date: 25 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.0595
optimal stoppingscale functionsdouble exponential jump diffusionspectrally negative Lévy processescredit risk management
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