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Hedging under the Heston model with jump-to-default. (English) Zbl 1153.91469

MSC:
91B28 Finance etc. (MSC2000)
60J75 Jump processes (MSC2010)
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References:
[1] Albrecher H., Wilmott Magazine pp 83–
[2] Carr P., Journal of Computational Finance 2 pp 61– · doi:10.21314/JCF.1999.043
[3] DOI: 10.1093/rfs/6.2.327 · Zbl 1384.35131 · doi:10.1093/rfs/6.2.327
[4] Miller K. S., Quarterly of Applied Mathematics 16 pp 137–
[5] DOI: 10.1007/978-1-4612-1170-9 · doi:10.1007/978-1-4612-1170-9
[6] Schoutens W., Wilmott Magazine pp 66–
[7] Widder D. V., The Laplace Transform (1941) · Zbl 0063.08245
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