1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.MF2017★ 1 cited
Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version
Ruediger Frey, Lars Roesler, Dan Lu
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the pri…
q-fin.PR2007
Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions
Ljudmila A. Bordag, Ruediger Frey
Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigati…