In this paper, we investigate an optimization problem related to super-replicating strategies for European-type call options written on a weighted sum of asset prices, following the initial approach in Chen et al. (2008). Three issues are investigated. The first issue is the (non-)uniqueness of...

This paper studies the valuation of credit risk for firms that own several subsidiaries or business lines. We provide simple analytical approximating expressions for probabilities of default, and for equity-debt market values, both in the case when the information is available in continuous time...