Anmerkungen:
In: International Journal of Theoretical and Applied Finance, Vol. 14, No. 2, 2011
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 12, 2009 erstellt
Beschreibung:
This paper proposes a simple scheme for static hedging of defaultable contingent claims. It is a kind of generalization of the technique developed by Carr and Chou (1997), Carr and Madan (1998), and Takahashi and Yamazaki (2009a) into unified credit-equity modelings. Our scheme provides a hedging strategy across credit and equity markets, where any defaultable contingent claim is accurately replicated by a feasible number of plain vanilla equity options. Another point is that shorter maturity options are available to hedge longer maturity defaultable contingent claims. Through numerical examples, it is shown that the scheme is applicable to both structural and intensity-based models