The mean-variance hedging of a defaultable option with partial information

Stochastic Analysis and Applications

Volumn 25, Issue 4, 2007, Pages 869-893

  Kohlmann, Michael ^a   Xiong, Dewen ^b  

^a UNIVERSITY OF KONSTANZ   (Germany)

^b SHANGHAI JIAO TONG UNIVERSITY   (China)

Author keywords

Backward stochastic differential equations; Defaultable risk; Mean variance hedging; Stochastic Riccati equation; Variance optimal martingale measure

Indexed keywords

EID: 34347343780     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362990701420134     Document Type: Article

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