Bond pricing under imprecise information

DOI10.1007/S12351-010-0087-XMaRDI QIDQ2359527zbMATH OpenOpenAlexFDO

Authors Elettra Agliardi, Rossella Agliardi

Publication date 29 June 2017

Published in Operational Research. An International Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s12351-010-0087-x

zbMATH Keywords

fuzzy setsincomplete informationstochastic processdefaultable bonds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1472777 (Why is no real title available?)
• A limit theorem in some dynamic fuzzy systems
• Fuzzy defaultable bonds
• Fuzzy sets
• Pricing vulnerable European options with stochastic default barriers
• Strategic Information Revelation
• Term Structures of Credit Spreads with Incomplete Accounting Information

Cited in

(14)

• A new default probability calculation formula and its application under uncertain environments
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Secondary Market Transparency and Corporate Bond Issuing Costs
• The total return swap pricing model under fuzzy random environments
• Fuzzy defaultable bonds
• Fuzzy options with application to default risk analysis for municipal bonds in China
• scientific article; zbMATH DE number 5260096 (Why is no real title available?)
• Default-risky bond prices with jumps, liquidity risk and incomplete information
• A reduced-form intensity-based model under fuzzy environments
• Bond prices under information asymmetry and a short rate with instantaneous feedback
• Pricing risky point with incomplete information under stochastic interest rate
• Pricing analysis of a class of risky bond with incomplete information
• Pricing corporate bonds with information dissymmetry under first-passage time approach
• A new index for bond management in an uncertain environment

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