Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11579-019-00245-x.pdf
Reference28 articles.
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3. Avram, F., Kyprianou, A.E., Pistorius, M.R.: Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Ann. Appl. Probab. 14(1), 215–238 (2004)
4. Avram, F., Palmowski, Z., Pistorius, M.R.: On the optimal dividend problem for a spectrally negative Lévy process. Ann. Appl. Probab. 17(1), 156–180 (2007)
5. Baurdoux, E.J., Kyprianou, A.E.: The McKean stochastic game driven by a spectrally negative Lévy process. Electron. J. Probab. 13, 173–197 (2008)
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