Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
Herein, we develop a backward stochastic differential equation (BSDE) valuation of securities with default risk. Consequently, the optimal recovery problem with quasi-linear utility functions is discussed with the help of the stochastic maximum principle. Finally, two important examples: the exponential and power utility cases are studied and their business implications are considered.
Słowa kluczowe
Czasopismo
Rocznik
Tom
Numer
Strony
305-321
Opis fizyczny
Daty
wydano
2006
Twórcy
autor
- CAB 632, Department of Mathematics, and Statistics, University of Alberta, Edmonton, Alberta, Canada T6G 2G1
autor
- Department of Real Estate, and Construction, The University of Hong Kong, Pokfulam, Hong Kong
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
DOI
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-am33-3-6