INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
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Publication:4906540
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Cites work
- A minimality property of the minimal martingale measure
- Credit derivatives and risk aversion
- Default and information
- European Option Pricing with Transaction Costs
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- Real options with constant relative risk aversion
- Stochastic Volatility Effects on Defaultable Bonds
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Utility valuation of multi-name credit derivatives and application to CDOs
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
Cited in
(19)- Pricing airbag option via first passage time approach
- Bond indifference prices
- Robust optimization of credit portfolios
- REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
- Recent advancements in robust optimization for investment management
- Algorithmic trading with model uncertainty
- Irreversible investments and ambiguity aversion
- Credit derivatives and risk aversion
- MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
- Model uncertainty in commodity markets
- Accounting for risk aversion in derivatives purchase timing
- Indifference pricing and hedging in a multiple-priors model with trading constraints
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Adaptive robust control in continuous time
- A modified structural model for credit risk
- Forward indifference valuation of American options
- Impact of risk aversion and belief heterogeneity on trading of defaultable claims
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- Option implied ambiguity and its information content: evidence from the subprime crisis
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