Optimal tranching with diverse beliefs

DOI10.1016/j.econlet.2014.05.030zbMath1302.91200OpenAlexW3122366972MaRDI QIDQ485588

Guixia Guo, Xu Wei, Frank Yong Wang

Publication date: 12 January 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.05.030

zbMATH Keywords

second-order stochastic dominancediverse beliefsoptimal tranchingprice bubble

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Cites Work

• Collateral restrictions and liquidity under-supply: a simple model
• Belief Disagreements and Collateral Constraints

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