STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS

DOI10.1142/S0219024911006383zbMath1217.91196OpenAlexW3122998993MaRDI QIDQ3005959

Akira Yamazaki, Shuichi Ohsaki

Publication date: 10 June 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006383

zbMATH Keywords

default riskdefaultable bondsstructural modelstatic hedgingintensity-based modelequity options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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