Portfolio problems stopping at first hitting time with application to default risk (Q2500790)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio problems stopping at first hitting time with application to default risk |
scientific article |
Statements
Portfolio problems stopping at first hitting time with application to default risk (English)
0 references
18 August 2006
0 references
Optimal consumption and investment
0 references
Random time horizon
0 references
Feynman-Kac representation
0 references
Barrier options
0 references
