Stéphane, Goutte; Armand, Ngoupeyou - In: Mathematical Economics Letters 1 (2014) 2-4, pp. 8-8
We study the pricing and hedging problem of a claim ψ whose payoff depends on the default times of two firms A and B. Thus, regarding the possible defaults of these two firms and assuming that, in the market, we can not buy or sell any defaultable bond of the firm B but only trade defaultable...