Utility indifference valuation of corporate bond with rating migration risk (Q889421): Difference between revisions
From MaRDI portal
Latest revision as of 00:27, 11 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Utility indifference valuation of corporate bond with rating migration risk |
scientific article |
Statements
Utility indifference valuation of corporate bond with rating migration risk (English)
0 references
6 November 2015
0 references
utility indifference price
0 references
credit rating migration
0 references
HJB equation
0 references
Markov-modulated framework
0 references