Valuation and optimal design to defaultable security

• Autorzy: Jianhui Huang , Na Li
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 49K45: Problems involving randomness
• 60H10: Stochastic ordinary differential equations
• 60G35: Signal detection and filtering

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2006
• Tom: 33
• Numer: 3-4
• Strony: 305-321

Daty

wydano

2006

Twórcy

autor

Jianhui Huang

• CAB 632, Department of Mathematics, and Statistics, University of Alberta, Edmonton, Alberta, Canada T6G 2G1

autor

Na Li

• Department of Real Estate, and Construction, The University of Hong Kong, Pokfulam, Hong Kong

Identyfikatory

DOI

10.4064/am33-3-6