Utility maximization with random horizon : a BSDE approach
Monique Jeanblanc; Thibaut Mastrolia and Dylan Possamai͏̈; Anthony Réveillac
| Year of publication: |
2015
|
|---|---|
| Authors: | Jeanblanc, Monique ; Mastrolia, Thibaut ; Possamai͏̈, Dylan ; Réveillac, Anthony |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 7, p. 1-43
|
| Subject: | Quadratic BSDEs | enlargement of filtration | credit risk | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011404177