Pricing and optimality with default spreads

Pricing and optimality with default spreads

In 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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Bibliographische Detailangaben
Veröffentlicht in:The Quarterly review of economics and finance 2009-05, Vol.49 (2), p.686-692
1. Verfasser: Fajardo, José
Format: Artikel
Sprache:eng
Schlagworte:
Collateral
Collateral Personalized arbitrage Utility penalties
Personalized arbitrage
Securities prices
Spread
Studies
Utility penalties
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Beschreibung
Zusammenfassung:In 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.
ISSN:1062-9769
1878-4259
DOI:10.1016/j.qref.2007.12.002