搜索结果: 1-2 共查到“数量经济学 credit risk”相关记录2条 . 查询时间(0.02 秒)
Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework
Binomial Tree Model Bond Pricing Credit Risk
2012/9/14
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework kno...
Credit risk premia and quadratic BSDEs with a single jump
Backward Stochastic Differential Equations (BSDE) defaultable contingent claims progressive enlargement of filtrations utility maximization
2010/11/1
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles.Assuming exponential utility preferences we derive r...