Pricing and optimality with default spreads
AbstractIn this paper we study the asset pricing and individual optimality problem in a two period incomplete markets economy where default is allowed but there are utility penalties and collateral requirements.
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Bibliographic InfoArticle provided by Elsevier in its journal The Quarterly Review of Economics and Finance.
Volume (Year): 49 (2009)
Issue (Month): 2 (May)
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Web page: http://www.elsevier.com/locate/inca/620167
Collateral Personalized arbitrage Utility penalties;
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