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Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time Cover

Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time

Open Access
|Jul 2017
DOI: https://doi.org/10.1515/amcs-2017-0030 | Journal eISSN: 2083-8492 | Journal ISSN: 1641-876X
Language: English
Page range: 435 - 447
Submitted on: Nov 30, 2016
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Accepted on: Feb 4, 2017
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Published on: Jul 8, 2017
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year

© 2017 Michele Bonollo, Luca Di Persio, Luca Mammi, Immacolata Olivad, published by University of Zielona Góra
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.