Portfolio problems stopping at first hitting time with application to default risk (Q2500790)
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scientific article; zbMATH DE number 5047744
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Portfolio problems stopping at first hitting time with application to default risk |
scientific article; zbMATH DE number 5047744 |
Statements
Portfolio problems stopping at first hitting time with application to default risk (English)
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18 August 2006
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Optimal consumption and investment
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Random time horizon
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Feynman-Kac representation
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Barrier options
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0.8684346
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0.86271805
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0.85746604
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0.8488078
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0.84236103
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0.84147894
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0.84140337
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0.84019625
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