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Optimal investment and pricing in the presence of defaults - MaRDI portal

Optimal investment and pricing in the presence of defaults

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Publication:5109977

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DOI10.1111/MAFI.12219OpenAlexW2594471068MaRDI QIDQ5109977

Scott Robertson, Tetsuya Ishikawa

Publication date: 14 May 2020

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.00062

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Semilinear parabolic equations (35K58)

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