RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES

DOI10.1142/S0219024912500598zbMath1260.91249arXiv1110.0220MaRDI QIDQ4909145

Tim Leung, Peng Liu

Publication date: 12 March 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.0220

zbMATH Keywords

credit derivativesoptimal liquidationevent risk premiumdefault risk premiumprice discrepancy

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

Speculative futures trading under mean reversion ⋮ Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs ⋮ Pricing derivatives with counterparty risk and collateralization: a fixed point approach ⋮ OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT

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