Utility indifference valuation of corporate bond with rating migration risk (Q889421)
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scientific article; zbMATH DE number 6505565
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility indifference valuation of corporate bond with rating migration risk |
scientific article; zbMATH DE number 6505565 |
Statements
Utility indifference valuation of corporate bond with rating migration risk (English)
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6 November 2015
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utility indifference price
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credit rating migration
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HJB equation
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Markov-modulated framework
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