Valuation and optimal design to defaultable security (Q3419237)
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scientific article; zbMATH DE number 5122509
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Valuation and optimal design to defaultable security |
scientific article; zbMATH DE number 5122509 |
Statements
Valuation and optimal design to defaultable security (English)
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6 February 2007
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default risk
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reduced-form model
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RMV
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BSDE
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stochastic maximum principle
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quasi-linear utility
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0.7844489216804504
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0.7778403162956238
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0.7736331224441528
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0.7734854817390442
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0.7727090120315552
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