Quadratic hedging methods for defaultable claims (Q2480782): Difference between revisions
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Revision as of 19:06, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quadratic hedging methods for defaultable claims |
scientific article |
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Quadratic hedging methods for defaultable claims (English)
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3 April 2008
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In a simple market consisting of the money market account and a risky asset, the authors compare the pricing and the hedging of a defaultable claim under the so-called intensity-based, local risk-minimization and mean-variance hedging approaches. For the first time in the literature, local risk-minimization is applied to defaultable derivatives, in particular for the case of a default put option with random recovery rate.
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defaultable markets
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intensity-based approach
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local risk-minimization
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minimal martingale measure
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mean-variance hedging
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