 We extend the notion of a discounted moment generation function of the log stock price to the case where the underlying can default and show how to calculate it in terms of a coupled system of generalized Riccati equations.
<coherence>  We extend the notion of a discounted moment generation function of the log stock price to the case where the underlying can default and show how to calculate it in terms of a coupled system of generalized Riccati equations.
 We show how to calculate it in terms of a coupled system of generalized Riccati equations.