Structural credit risk model driven by Lévy process under knight uncertainty
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-023-05309-2.pdf
Reference17 articles.
1. Applebaum, D. (2009). Lévy process and stochastic calculus. Cambridge University Press.
2. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy., 81(3), 637–654. https://doi.org/10.1142/9789814759588_0001
3. Chen, Z. J., & Epstein, L. (2002). Ambiguity, risk, and asset returns in continuous time. Econometrica, 70(4), 1403–1443. https://doi.org/10.1111/1468-0262.00337
4. Ellsberg, D. (1961). Risk, ambiguity and the savage axioms. Quarterly Journal of Economics, 75(4), 643–669. https://doi.org/10.2307/1884324
5. Hilberink, B., & Rogers, L. C. G. (2002). Optimal capital structure and endogenous default. Finance and Stochastics, 6(2), 237–263. https://doi.org/10.1007/s007800100058
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