The Mean-Variance Hedging of a Defaultable Option with Partial Information
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Publication:3592751
DOI10.1080/07362990701420134zbMath1132.91468MaRDI QIDQ3592751
Publication date: 21 September 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990701420134
backward stochastic differential equations; mean-variance hedging; stochastic Riccati equation; variance-optimal martingale measure; defaultable risk
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
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