Equilibrium model with default and dynamic insider information
نویسندگان
چکیده
منابع مشابه
Equilibrium model with default and insider ’ s dynamic information ∗
We consider an equilibrium model à la Kyle-Back for a defaultable claim issued by a given firm. In such a market the insider observes continuously in time the value of firm, which is unobservable by the market makers. Using the construction of a dynamic Bessel bridge of dimension 3 in [5], we provide the equilibrium price and the optimal insider’s strategy. As in [3], the information released b...
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We study an equilibrium model for the pricing of a defaultable zero coupon bond issued by a firm in the framework of Back [2]. The market consists of a risk-neutral informed agent, noise traders and a market maker who sets the price using the total order. When the insider does not trade, the default time possesses a default intensity in market’s view as in reduced-form credit risk models. Howev...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2012
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-012-0196-x