Optimization problem and mean variance hedging on defaultable claims

We study the pricing and the hedging of claim {\psi} which depends on the default times of two firms A and B. In fact, we assume that, in the market, we can not buy or sell any defaultable bond of the firm B but we can only trade defaultable bond of the firm A. Our aim is then to find the best price...

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Veröffentlicht in:	arXiv.org 2012-09
Hauptverfasser:	Goutte, Stephane, Ngoupeyou, Armand
Format:	Artikel
Sprache:	eng
Schlagworte:	Differential equations Hedging Markov processes Mathematical analysis Optimization
Online-Zugang:	Volltext
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