A lattice model with incomplete information: A credit risk application

DOI10.1524/STND.2008.0914zbMath1154.91496OpenAlexW2041359755MaRDI QIDQ5502852

Sabrina Mulinacci, Umberto Cherubini, Silvia Romagnoli

Publication date: 9 January 2009

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2008.0914

zbMATH Keywords

credit riskincomplete informationbinomial models\(H\)-hypothesis

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35)

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