Defaultable claims in switching models with partial information
Pavel V. Gapeev and Monique Jeanblanc
| Year of publication: |
2019
|
|---|---|
| Authors: | Gapeev, Pavel V. ; Jeanblanc, Monique |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 4, p. 1-18
|
| Subject: | Contingent claims | geometric Brownian motion | random drift rate | switching time | partial information | filtering equations | posterior probabilities | conditional probability density | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Wahrscheinlichkeitsrechnung | Probability theory | Unvollkommene Information | Incomplete information | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500067 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012030897