Information Asymmetry in Pricing of Credit Derivatives
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold. Different information structures are distinguished using the framework of enlargement of filtrations. We specify risk neutral probabilities and we evaluate default sensitive contingent claims in these cases.
|Date of creation:||17 Feb 2010|
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- Umut Çetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2008.
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World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 23, pages 579-590
World Scientific Publishing Co. Pte. Ltd..
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