Utility indifference valuation of corporate bond with rating migration risk (Q889421): Difference between revisions

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Latest revision as of 01:27, 11 July 2024

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Utility indifference valuation of corporate bond with rating migration risk
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    Utility indifference valuation of corporate bond with rating migration risk (English)
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    6 November 2015
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    utility indifference price
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    credit rating migration
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    HJB equation
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    Markov-modulated framework
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