Recursive valuation of defaultable securities and the timing of resolution of uncertainty

Annals of Applied Probability

Volumn 6, Issue 4, 1996, Pages 1075-1090

  Duffie, Darrell ^a,b   Schroder, Mark ^a,c   Skiadas, Costis ^a,d  

^a STANFORD UNIVERSITY   (United States)

^b STANFORD UNIVERSITY   (United States)

^c UNIVERSITY AT BUFFALO   (United States)

^d NORTHWESTERN UNIVERSITY   (United States)

Author keywords

Backward stochastic differential equations; Credit risk; Default; Timing of resolution of uncertainty

Indexed keywords

EID: 0030375631     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1035463324     Document Type: Article

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