Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
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Publication:740187
DOI10.1016/j.spa.2014.04.001zbMath1348.60067arXiv1505.03501MaRDI QIDQ740187
Publication date: 2 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.03501
Lévy process; semimartingale; local martingale; hedging strategy; Föllmer-Schweizer decomposition; Galtchouk-Kunita-Watanabe decomposition; local risk-minimization; defaultable claims
60G51: Processes with independent increments; Lévy processes
60G48: Generalizations of martingales
91G80: Financial applications of other theories