PDE-Based Bayesian Inference of CEV Dynamics for Credit Risk in Stock Prices
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
https://link.springer.com/content/pdf/10.1007/s10690-023-09420-z.pdf
Reference40 articles.
1. Aboulaich, R., Hadji, M. L., & Jraifi, A. (2013). Option pricing with constant elasticity of variance (CEV) model. Applied Mathematical Sciences, 7, 5443–5456.
2. Adrian, T., & Brunnermeier, M. K. (2016). CoVaR. The American Economic Review, 106, 1705–1741.
3. Beckers, S. (1980). The constant elasticity of variance model and its implications for option pricing. Journal of Finance, 35, 661–673.
4. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Politcal Economy, 81, 637–659.
5. Chan, K. C., Karolyi, G. A., Longstaff, F. A., & Sanders, A. B. (1992). An empirical comparison of alternative models of the short-term interest rate. Journal of Finance, 47, 1209–1227.
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