Corporate security prices in structural credit risk models with incomplete information

DOI10.1111/mafi.12176zbMath1411.91598arXiv1701.04780OpenAlexW2186328685MaRDI QIDQ5743118

Dan Lu, Rüdiger Frey, Lars Rösler

Publication date: 8 May 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.04780

zbMATH Keywords

incomplete informationstochastic filteringstructural credit risk modelsderivative asset analysis for corporate securities

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Cites Work

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