Pricing and Hedging in Affine Models with Possibility of Default

DOI10.1137/100816730zbMath1275.91130arXiv1012.0754OpenAlexW2139361195MaRDI QIDQ4902217

Patrick Cheridito, Alexander Wugalter

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.0754

zbMATH Keywords

defaultjumpshedgingstochastic volatilitypricingaffine models

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

Enhanced equity-credit modelling for contingent convertibles ⋮ Exponential moments of affine processes ⋮ A unified approach to pricing and risk management of equity and credit risk

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