Pricing and optimality with default spreads

Jose Santiago Fajardo Barbachan ()

The Quarterly Review of Economics and Finance, 2009, vol. 49, issue 2, pages 686-692

Abstract: 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.

Keywords: Collateral; Personalized; arbitrage; Utility; penalties (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:quaeco:v:49:y:2009:i:2:p:686-692

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