Jeanblanc, Monique; Geman, Hélyette; Coculescu, Délia - Université Paris-Dauphine (Paris IX) - 2006
We propose an evaluation method for financial assets subject to default risk, when investors face imperfect information about the state variable triggering the default. The model we propose generalizes the one by Duffie and Lando (2001) in the following way:(i)it incorporates informational noise...