Utility indifference valuation of corporate bond with rating migration risk
From MaRDI portal
Publication:889421
DOI10.1007/s11464-015-0445-3zbMath1323.93077MaRDI QIDQ889421
Jin Liang, Xudan Zhang, Yuejuan Zhao
Publication date: 6 November 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-015-0445-3
62P05: Applications of statistics to actuarial sciences and financial mathematics
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
91G40: Credit risk
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