Defaultable Claims In Switching Models With Partial Information
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DOI: 10.1142/S0219024919500067
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References listed on IDEAS
- Pavel V. Gapeev & Monique Jeanblanc, 2009. "Pricing Of Contingent Claims In A Two-Dimensional Model With Random Dividends," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1091-1104.
- Gapeev, P.V. & Peskir, G., 2006. "The Wiener disorder problem with finite horizon," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 1770-1791, December.
- Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2008. "Information-Based Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 107-142.
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Cited by:
- Zaevski, Tsvetelin S. & Kounchev, Ognyan & Savov, Mladen, 2019. "Two frameworks for pricing defaultable derivatives," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 309-319.
- Gapeev, Pavel V. & Jeanblanc, Monique, 2021. "First-to-default and second-to-default options in models with various information flows," LSE Research Online Documents on Economics 110750, London School of Economics and Political Science, LSE Library.
- Pavel V. Gapeev & Monique Jeanblanc, 2020. "Credit Default Swaps In Two-Dimensional Models With Various Informations Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-28, March.
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Keywords
Contingent claims; geometric Brownian motion; random drift rate; switching time; partial information; filtering equations; posterior probabilities; conditional probability density;All these keywords.
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