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PDE approach to valuation and hedging of credit derivatives

Bielecki, Tomasz; Jeanblanc, Monique; Rutkowski, Marek - In: Quantitative Finance 5 (2005) 3, pp. 257-270

This paper presents a PDE approach in a Markovian setting to hedge defaultable derivatives. The arbitrage price and the hedging strategy for an attainable contingent claim are described in terms of solutions of a pair of coupled PDEs. For some standard examples of defaultable claims, we provide...

Persistent link: https://www.econbiz.de/10009208234