Indifference pricing of credit default swaps in a multi-period model

DOI10.3934/jimo.2023041zbMath1524.91131OpenAlexW4366316851MaRDI QIDQ6102890

Jianwei Lin, Ayu Xie, Xiao-Song Qian

Publication date: 23 June 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2023041

zbMATH Keywords

credit riskrisk aversionreduced-form modelindifference pricingCDS-bond basistrading motive

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

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• INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• INDIFFERENCE PRICES AND IMPLIED VOLATILITIES
• European Option Pricing with Transaction Costs
• Utility valuation of multi-name credit derivatives and application to CDOs

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