Pricing Defaultable Bonds Based on BSDEs in Incomplete Markets

摘要：

In this paper, we treat defaultable bond as a contingent claim in incomplete markets. By setting up an investment portfolio with risky asset and construct two backward stochastic differential equation (BSDE), we develop the bond pricing equation by finding the optimal investment strategy with minimum risk through linear-quadratic hedging method.

关键词： Incomplete markets defaultable bond BSDEs linear-quadratic hedging

作者: WANG Kaiming PAN Heping

作者单位: Prediction Research Center, University of Electronic Science & Technology of China, 610054

会议类型: 国际会议

会议名称: 2010 International Conference on Management Science and Engineering(2010年管理科学与工程国际学术研讨会)

会议地点: 成都

会议语种:英文

页码: 590-595

在线出版日期: 2010-11-01（万方平台首次上网日期，不代表论文的发表时间）