Valuation of default-sensitive claims under imperfect information (Publisher’s Erratum)
نویسندگان
چکیده
منابع مشابه
Valuation of default-sensitive claims under imperfect information (Publisher's Erratum)
We propose a valuation method for financial assets subject to default risk, where investors cannot observe the state variable triggering the default but observe a correlated price process. The model is sufficiently general to encompass a large class of structural models and can be seen as a generalization of the model of Duffie and Lando (Econometrica 69:633–664, 2001). In this setting we prove...
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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 in continuous time, (ii) it respects the (H) hypothesis, (iii) it precludes arbitrage from insider...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2009
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-009-0106-z