Pricing risky point with incomplete information under stochastic interest rate

MaRDI QIDQ3372795zbMATH OpenFDO

Authors Jihui Hu, Zhihong Jian

Publication date 10 March 2006

zbMATH Keywords

default-able bondmartingale

Mathematics Subject Classification ID

Recommendations

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• PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE

Cited in

(5)

• The price of risk with incomplete knowledge on the utility function
• Bond pricing under imprecise information
• Default-risky bond prices with jumps, liquidity risk and incomplete information
• Pricing analysis of a class of risky bond with incomplete information
• Using Utility Functions to Model Risky Bonds

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