PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION

被引：24

作者：

Frey, Ruediger ^{[2
]}

Schmidt, Thorsten ^{[1
]}

机构：

[1] Tech Univ Chemnitz, Dept Math, D-09126 Chemnitz, Germany

[2] Univ Leipzig, Leipzig, Germany

来源：

MATHEMATICAL FINANCE | 2009年 / 19卷 / 03期

基金：

奥地利科学基金会;

关键词：

credit risk; structural models; nonlinear filtering; incomplete information; RISK;

D O I：

10.1111/j.1467-9965.2009.00374.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper considers the pricing of corporate securities of a given firm, in particular equity, when investors do not have full information on the firm's asset value. We show that under noisy asset information, the pricing of corporate securities leads to a nonlinear filtering problem. This problem is solved by a Markov chain approximation, leading to an efficient finite-dimensional approximative filter for the asset value. We discuss several applications and illustrate our results with a simulation study.

引用

页码：403 / 421

页数：19

共 15 条

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[Anonymous], 2004, J INVEST MANAG

[2] Efficient estimation of first passage time density function for jump-diffusion processes [J].