Title of article
Optimal martingale measures for defaultable assets
Author/Authors
Lee، نويسنده , , Young and Rheinlنnder، نويسنده , , Thorsten، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
15
From page
2870
To page
2884
Abstract
We model a defaultable asset as solution to a stochastic differential equation driven by both a Brownian motion and the counting process martingale associated to the one-jump process. We discuss in this framework the minimal entropy martingale measure as well as the linear Esscher and the minimal martingale measure. In particular we deal with some rather delicate verification issues.
Keywords
Defaultable assets , Martingale measures , Minimal entropy martingale measure , Incomplete markets
Journal title
Stochastic Processes and their Applications
Serial Year
2012
Journal title
Stochastic Processes and their Applications
Record number
1578659
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