Mean-variance hedging under multiple defaults risk

Sebastien Choukroun (), Stéphane Goutte and Armand Ngoupeyou ()
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Sebastien Choukroun: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique
Armand Ngoupeyou: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique

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Date: 2015
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Published in Stochastic Analysis and Applications, 2015, 33 (5), pp.757-791

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02879243

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