Optimal default boundary in a discrete time setting

MaRDI QIDQ2741091zbMATH OpenFDO

Authors Agata Altieri, Tiziano Vargiolu

Publication date 9 September 2001

zbMATH Keywords

bankruptcy costsdefault timetax benefits

Mathematics Subject Classification ID

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

Recommendations

• Optimal investment and pricing in the presence of defaults
• Optimal Design of Dynamic Default Risk Measures
• Optimal martingale measures for defaultable assets
• Optimal hedging in discrete time
• Pricing of the corporate debt and optimal default boundary in jump-diffusion model with -1 jump size
• An optimal portfolio problem in a defaultable market
• Default Times in a Continuous-Time Markovian Regime Switching Model
• Defaultable options in a Markovian intensity model of credit risk
• The optimal analysis of default probability for a credit risk model

Cited in

(1)

• Optimal stopping behavior of equity-linked investment products with regime switching

This page was built for publication: Optimal default boundary in a discrete time setting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2741091)