Dual optimization problem on defaultable claims

DOI10.1515/MEL-2013-0002zbMATH Open1303.91185OpenAlexW588741037MaRDI QIDQ486473FDOQ486473

Authors: Stéphane Goutte, Armand Ngoupeyou 

Publication date: 15 January 2015

Published in: Mathematical Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mel-2013-0002

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zbMATH Keywords

utility functionbonddefault and credit riskHamilton-Jacobi-Bellmanindifference price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Generalizations of martingales (60G48) Credit risk (91G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (1)

• Indifference pricing of defaultable claims

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