Utility indifference valuation of corporate bond with rating migration risk (Q889421): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 02:30, 5 March 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
