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- W588741037 abstract "We study the pricing and hedging problem of a claim ψ whose payoff depends on the default times of two firms A and B. Thus, regarding the possible defaults of these two firms and assuming that, in the market, we can not buy or sell any defaultable bond of the firm B but only trade defaultable bond of the firm A. Our aim is then to find the best price and hedging of ψ using only bonds of the firm A. We solve this problem using indifference pricing theory which implies to solve a system of Hamilton-Jacobi-Bellman equations. Moreover, we obtain an explicit formula of the optimal hedging strategy." @default.
- W588741037 created "2016-06-24" @default.
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- W588741037 date "2014-01-28" @default.
- W588741037 modified "2023-09-26" @default.
- W588741037 title "Dual Optimization Problem on Defaultable Claims" @default.
- W588741037 doi "https://doi.org/10.1515/mel-2013-0002" @default.
- W588741037 hasPublicationYear "2014" @default.
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