A Model with Interacting Assets Driven by Poisson Processes
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/07362990500397806
Reference19 articles.
1. A model of financial market with several interacting assets. Complete market case
2. Option pricing when underlying stock returns are discontinuous
3. Risky debt, jump processes, and safety covenants
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