FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS

DOI10.1142/S0219024921500229zbMath1493.91136OpenAlexW3169971171MaRDI QIDQ5010075

Pavel V. Gapeev, Monique Jeanblanc-Picqué

Publication date: 24 August 2021

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

Full work available at URL: https://doi.org/10.1142/s0219024921500229

zbMATH Keywords

geometric Brownian motioninitial and progressive enlargements of filtrationsfirst-to-default and second-to-default optionssuccessive default times

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

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