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Valuation and optimal design to defaultable security - MaRDI portal

Valuation and optimal design to defaultable security

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Publication:3419237

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DOI10.4064/am33-3-6zbMath1134.49021OpenAlexW2019479903MaRDI QIDQ3419237

Jianhui Huang, Na Li

Publication date: 6 February 2007

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am33-3-6

zbMATH Keywords

stochastic maximum principle default risk reduced-form model BSDE quasi-linear utility RMV

Mathematics Subject Classification ID

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