DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION

DOI10.1142/S0219024919500067zbMath1411.91599MaRDI QIDQ5384676

Pavel V. Gapeev, Monique Jeanblanc-Picqué

Publication date: 24 June 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

conditional probability density; contingent claims; geometric Brownian motion; partial information; filtering equations; switching time; posterior probabilities; random drift rate

Mathematics Subject Classification ID

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

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

91G40: Credit risk