HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT

DOI10.1142/S0219024908004865zbMath1153.91469MaRDI QIDQ3520540

Peter Carr, Wim Schoutens

Publication date: 26 August 2008

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

Mathematics Subject Classification ID

Related Items (4)

Pricing and hedging contingent claims using variance and higher order moment swaps ⋮ Pricing convertible bonds and change of probability measure ⋮ Variance Swaps on Defaultable Assets and Market Implied Time-Changes ⋮ A unified approach to pricing and risk management of equity and credit risk

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item

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