Dual optimization problem on defaultable claims
Stéphane Goutte and Armand Ngoupeyou
| Year of publication: |
2013
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|---|---|
| Authors: | Goutte, Stéphane ; Ngoupeyou, Armand |
| Published in: |
Mathematical economics letters. - Berlin : de Gruyter, ISSN 2195-4615, ZDB-ID 2741057-2. - Vol. 1.2013, 2/4, p. 47-54
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| Subject: | Hamilton-Jacobi-Bellman | Utility Function | Indifference Price | Bond | Default and Credit Risk | Kreditrisiko | Credit risk | Nutzenfunktion | Utility function | Insolvenz | Insolvency | Anleihe | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Unternehmensanleihe | Corporate bond | Mathematische Optimierung | Mathematical programming | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010437851