Title of article :
No arbitrage in a simple credit risk model
Author/Authors :
Capinski، نويسنده , , Marek and Zastawniak، نويسنده , , Tomasz، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2014
Abstract :
In a simple credit risk model we find an equivalent condition to the no-simple-arbitrage principle and show that it is insufficient for an equivalent martingale measure to exist.
Keywords :
Arbitrage , credit risk , Martingale measure
Journal title :
Applied Mathematics Letters
Journal title :
Applied Mathematics Letters
