Event risk, contingent claims and the temporal resolution of uncertainty
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Publication:2257042
DOI10.1007/s11579-013-0107-8zbMath1306.91135OpenAlexW2151376067MaRDI QIDQ2257042
Julien Hugonnier, Pierre Collin Dufresne
Publication date: 23 February 2015
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://infoscience.epfl.ch/record/207518/files/11579_2013_Article_107.pdf
certainty equivalentincomplete marketscredit riskevent risktemporal resolution of uncertaintyutility based valuation
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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