Abstract. This paper deals with the problem of hedging contingent claims in the framework of a two factors jump-diffusion model with different credit and deposit rates. The upper and lower hedging prices are derived for European options by means of auxiliary completions of the initial market.
Abstract. This paper deals with the problems of investment and shortfall risk minimization in the framework of a two-factor diffusion model with jumps and with different credit and deposit rates. The optimal strategies are derived by means of auxiliary completions of the initial market.
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