Impact of risk aversion and belief heterogeneity on trading of defaultable claims

DOI10.1007/s10479-013-1524-zzbMath1348.91271MaRDI QIDQ338909

Tim Leung, Jinbeom Kim

Publication date: 7 November 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-013-1524-z

zbMATH Keywords

credit risk; risk aversion; heterogeneous beliefs; indifference pricing; trading volume

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

Related Items

Indifference pricing of credit default swaps in a multi-period model, Option implied ambiguity and its information content: evidence from the subprime crisis

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