Valuation and optimal design to defaultable security

Jianhui Huang, and Na Li. "Valuation and optimal design to defaultable security." Applicationes Mathematicae 33.3-4 (2006): 305-321. <http://eudml.org/doc/279250>.

@article{JianhuiHuang2006,
abstract = {Herein, we develop a backward stochastic differential equation (BSDE) valuation of securities with default risk. Consequently, the optimal recovery problem with quasi-linear utility functions is discussed with the help of the stochastic maximum principle. Finally, two important examples: the exponential and power utility cases are studied and their business implications are considered.},
author = {Jianhui Huang, Na Li},
journal = {Applicationes Mathematicae},
keywords = {default risk; reduced-form model; RMV; BSDE; stochastic maximum principle; quasi-linear utility},
language = {eng},
number = {3-4},
pages = {305-321},
title = {Valuation and optimal design to defaultable security},
url = {http://eudml.org/doc/279250},
volume = {33},
year = {2006},
}

TY - JOUR
AU - Jianhui Huang
AU - Na Li
TI - Valuation and optimal design to defaultable security
JO - Applicationes Mathematicae
PY - 2006
VL - 33
IS - 3-4
SP - 305
EP - 321
AB - Herein, we develop a backward stochastic differential equation (BSDE) valuation of securities with default risk. Consequently, the optimal recovery problem with quasi-linear utility functions is discussed with the help of the stochastic maximum principle. Finally, two important examples: the exponential and power utility cases are studied and their business implications are considered.
LA - eng
KW - default risk; reduced-form model; RMV; BSDE; stochastic maximum principle; quasi-linear utility
UR - http://eudml.org/doc/279250
ER -