Hedging and utility valuation of a defaultable claim driven by Hawkes processes
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Publication:6580708
DOI10.1002/ASMB.2663MaRDI QIDQ6580708
Puneet Pasricha, S. Dharmaraja, Paola Tardelli
Publication date: 29 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
backward stochastic differential equationsHawkes processesoptimal investmentexponential utilitydefault time
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