Quotation Frey, Rüdiger, Schmidt, Thorsten. 2009. Pricing corporate securities with noisy asset information. Mathematical Finance 19 403-421.




We consider the pricing of corporate securities when investors do not have full information. One approach for this is to consider a random default boundary, such that even if the firm value was known, the time of default would not be predictable. On the other side, in reality investors do not have access to the true firm value. This is taken into account using an approach which considers the firm value unobservable and uses noisy information to obtain a filter problem. The filter problem is solved approximately and consequences to the pricing of equity and debt are examined.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Mathematical Finance
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-B, WH-B
Language English
Title Pricing corporate securities with noisy asset information
Volume 19
Year 2009
Page from 403
Page to 421


Frey, Rüdiger (Details)
Schmidt, Thorsten
Institute for Statistics and Mathematics IN (Details)
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