most citedCredit risk premia and quadratic BSDEs with a single jump

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q-fin.CP2008★ 1 cited

Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon

Christophette Blanchet-Scalliet, Anne Eyraud-Loisel, Manuela Royer-Carenzi

This article focuses on the mathematical problem of existence and uniqueness of BSDE with a random terminal time which is a general random variable but not a stopping time, as it h…