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Valuation of default sensitive claims under imperfect information

Jeanblanc, Monique; Geman, Hélyette; Coculescu, Délia - Université Paris-Dauphine (Paris IX) - 2006

We propose an evaluation method for financial assets subject to default risk, when investors face imperfect information about the state variable triggering the default. The model we propose generalizes the one by Duffie and Lando (2001) in the following way:(i)it incorporates informational noise...

Persistent link: https://www.econbiz.de/10011074330

Valuation of default sensitive claims under imperfect information.

Jeanblanc, Monique; Geman, Hélyette; Coculescu, Délia - Université Paris-Dauphine

Persistent link: https://www.econbiz.de/10008532557

Valuation of default-sensitive claims under imperfect information (Publisher’s Erratum)

Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and Stochastics 14 (2010) 1, pp. 153-155

Persistent link: https://www.econbiz.de/10008491568

Valuation of default-sensitive claims under imperfect information

Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and Stochastics 12 (2008) 2, pp. 195-218

Persistent link: https://www.econbiz.de/10005166863

Valuation of default-sensitive claims under imperfect information

Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and stochastics 12 (2008) 2, pp. 195-218

Persistent link: https://www.econbiz.de/10003716260

Valuation of default-sensitive claims under imperfect information

Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and stochastics 12 (2008) 2, pp. 195-218

Persistent link: https://www.econbiz.de/10008221307

Valuation of default-sensitive claims under imperfect information (Publisher’s Erratum)

Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and stochastics 14 (2009) 1, pp. 153-156

Persistent link: https://www.econbiz.de/10008445237