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
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
Journal title :
Stochastic Processes and their Applications