Defaultable Game Options in a Hazard Process Model

Tomasz R.Bielecki; StéphaneCrépey; MoniqueJeanblanc; MarekRutkowski

首页> 外文期刊>International journal of stochastic analysis >Defaultable Game Options in a Hazard Process Model

【24h】

Defaultable Game Options in a Hazard Process Model

机译：危险过程模型中的默认游戏选项

获取原文

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

The valuation and hedging of defaultable game options is studied in a hazard process model of credit risk. A convenient pricing formula with respect to a reference filteration is derived. A connection of arbitrage prices with a suitable notion of hedging is obtained. The main result shows that the arbitrage prices are the minimal superhedging prices with sigma martingale cost under a risk neutral measure.

机译：在信用风险的危害过程模型中研究了违约博弈期权的估值和对冲。得出关于参考过滤的便利定价公式。获得套利价格与适当的套期保值概念的联系。主要结果表明，在风险中性度量下，套利价格是具有super成本的最小对冲价格。

著录项

来源
《International journal of stochastic analysis》 |2009年第1期|共33页
作者
Tomasz R.Bielecki; StéphaneCrépey; MoniqueJeanblanc; MarekRutkowski;
展开▼
作者单位

展开▼
收录信息
原文格式 PDF
正文语种
中图分类应用数学;
关键词

相似文献

外文文献
中文文献
专利

1. Defaultable Game Options in a Hazard Process Model [J] . Tomasz R. Bielecki, Stephane Crepey, Monique Jeanblanc, Journal of applied mathematics and stochastic analysis: J.A.M.S.A . 2009,第1期

机译：危险过程模型中的默认游戏选项
2. Defaultable Game Options in a Hazard Process Model [J] . Tomasz R. Bielecki, Stephane Crepey, Monique Jeanblanc, Journal of applied mathematics and stochastic analysis: J.A.M.S.A . 2009,第1期

机译：危险过程模型中的默认游戏选项
3. PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LEVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH [J] . Liming Feng, Vadim Linetsky Mathematical finance . 2008,第3期

机译：在水平过程模型中定价离散监控障碍选项和破坏性债券：一种快速的希尔伯特变换方法
4. Default Prediction and Bankruptcy Hazard Analysis into Recurent neuro-genetic hybrid networks to AdaBoost Ml Regression and Logistic Regression models in Finance [C] . Loukeris Nikolaos, Eleftheriadis Iordanis WSEAS international conference on systems;WSEAS CSCC multiconference . 2011

机译：递归神经遗传混合网络中AdaBoost Ml回归和Logistic回归模型的默认预测和破产风险分析
5. A Three-Factor Mortgage Default Option Pricing Model with Applications to the Loan Modifications. [D] . Wang, Xun. 2011

机译：三要素抵押默认期权定价模型及其在贷款修改中的应用。
6. Thinking about thinking: implications of the introspective error for default-interventionist type models of dual processes [O] . Laura F. Mega, Kirsten G. Volz 2014

机译：思考思考：内省错误对双重过程的默认干预类型模型的影响
7. DEFAULTABLE GAME OPTIONS IN A HAZARD PROCESS MODEL [O] . Tomasz R. Bielecki, Stéphane Crépey, Département De Mathématiques, 2006

机译：危险过程模型中的破坏性游戏选项
8. Modeling the Performance of FHA-Insured Loans: Borrower Heterogeneity and the Exercise of Mortgage Default and Prepayment Options [R] . Deng, Y., Gabriel, S. 2002

机译：FHa保险贷款业绩模型：借款人异质性和抵押贷款违约和预付款选项的行使

Defaultable Game Options in a Hazard Process Model

摘要

著录项

相似文献

相关主题

期刊订阅