FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W170057466> ?p ?o ?g. }

• W170057466 abstract "A vital issue in financial mathematics is the choice of an appropriate model for the financial market. It is well-known that the famous Black-Scholes model does not perform well in reality. The aim of this thesis is to extend the Black-Scholes model in order to improve its empirical performance. Our motivation originates from credit risk and option pricing. We start with credit risk and in particular with the valuation of risky debt. The approach initiated by Merton [57] will be adapted to the extended model. We will see that the obtained credit spreads are consistent with historical data. Further, several calibration methodologies for estimating the model parameters will be discussed. Due to the fact that calibration is feasible, we are able to use the model for practical purposes such as the calculation of probabilities of default. As a test example, the model will be applied to a real firm that has been in financial distress recently. In the second part of this thesis we will focus on option pricing. The volatility smiles produced by the model for short as well as for long maturities are adequate. Moreover, we will propose two different ways of option pricing: an analytical way and by means of the FFT algorithm. The last technique has the advantage that it can be extended to price more complex options, e.g., exotic options." @default.
• W170057466 created "2016-06-24" @default.
• W170057466 creator A5036559367 @default.
• W170057466 date "2012-09-28" @default.
• W170057466 modified "2023-09-26" @default.
• W170057466 title "A Regime Switching Jump-Diffusion Model and its Application to Credit Risk and Option Pricing" @default.
• W170057466 cites W1480459000 @default.
• W170057466 cites W1486632395 @default.
• W170057466 cites W1489605740 @default.
• W170057466 cites W1499969990 @default.
• W170057466 cites W1502790641 @default.
• W170057466 cites W1544814247 @default.
• W170057466 cites W1565229770 @default.
• W170057466 cites W1570089119 @default.
• W170057466 cites W1571438983 @default.
• W170057466 cites W1785354277 @default.
• W170057466 cites W1829370915 @default.
• W170057466 cites W1942746312 @default.
• W170057466 cites W1952812440 @default.
• W170057466 cites W1957765303 @default.
• W170057466 cites W1965542647 @default.
• W170057466 cites W1966119267 @default.
• W170057466 cites W1981073545 @default.
• W170057466 cites W2006804758 @default.
• W170057466 cites W2011886674 @default.
• W170057466 cites W2034723325 @default.
• W170057466 cites W2040111471 @default.
• W170057466 cites W2048247854 @default.
• W170057466 cites W2061371796 @default.
• W170057466 cites W2068761599 @default.
• W170057466 cites W2072532359 @default.
• W170057466 cites W2075066899 @default.
• W170057466 cites W2077373339 @default.
• W170057466 cites W2077791698 @default.
• W170057466 cites W2082317778 @default.
• W170057466 cites W2084206021 @default.
• W170057466 cites W2084748303 @default.
• W170057466 cites W2092200574 @default.
• W170057466 cites W2105832006 @default.
• W170057466 cites W2105973145 @default.
• W170057466 cites W2110652040 @default.
• W170057466 cites W2116569334 @default.
• W170057466 cites W2117853077 @default.
• W170057466 cites W2119605742 @default.
• W170057466 cites W2142278738 @default.
• W170057466 cites W2151065060 @default.
• W170057466 cites W2153316750 @default.
• W170057466 cites W2165952101 @default.
• W170057466 cites W2169724114 @default.
• W170057466 cites W2462167935 @default.
• W170057466 cites W2529440437 @default.
• W170057466 cites W2621537150 @default.
• W170057466 cites W2955693448 @default.
• W170057466 cites W3023725669 @default.
• W170057466 cites W3120164020 @default.
• W170057466 cites W3121226382 @default.
• W170057466 cites W3121405566 @default.
• W170057466 cites W3122402328 @default.
• W170057466 cites W3122880446 @default.
• W170057466 cites W3123151612 @default.
• W170057466 cites W3123216776 @default.
• W170057466 cites W3125360998 @default.
• W170057466 cites W3125527474 @default.
• W170057466 cites W3140895391 @default.
• W170057466 cites W3143536790 @default.
• W170057466 cites W616693435 @default.
• W170057466 cites W67869142 @default.
• W170057466 hasPublicationYear "2012" @default.
• W170057466 type Work @default.
• W170057466 sameAs 170057466 @default.
• W170057466 citedByCount "0" @default.
• W170057466 crossrefType "dissertation" @default.
• W170057466 hasAuthorship W170057466A5036559367 @default.
• W170057466 hasConcept C10138342 @default.
• W170057466 hasConcept C105795698 @default.
• W170057466 hasConcept C121332964 @default.
• W170057466 hasConcept C138060521 @default.
• W170057466 hasConcept C149782125 @default.
• W170057466 hasConcept C162118730 @default.
• W170057466 hasConcept C162324750 @default.
• W170057466 hasConcept C163128081 @default.
• W170057466 hasConcept C165838908 @default.
• W170057466 hasConcept C178350159 @default.
• W170057466 hasConcept C182306322 @default.
• W170057466 hasConcept C186027771 @default.
• W170057466 hasConcept C194483076 @default.
• W170057466 hasConcept C24189920 @default.
• W170057466 hasConcept C24446708 @default.
• W170057466 hasConcept C2778311368 @default.
• W170057466 hasConcept C2778414658 @default.
• W170057466 hasConcept C2779664328 @default.
• W170057466 hasConcept C2780695682 @default.
• W170057466 hasConcept C32896092 @default.
• W170057466 hasConcept C33923547 @default.
• W170057466 hasConcept C41008148 @default.
• W170057466 hasConcept C44309892 @default.
• W170057466 hasConcept C62520636 @default.
• W170057466 hasConcept C91602232 @default.
• W170057466 hasConceptScore W170057466C10138342 @default.
• W170057466 hasConceptScore W170057466C105795698 @default.

• next