Optimal martingale measures for defaultable assets |
| |
Authors: | Young Lee,Thorsten Rheinlä nder |
| |
Affiliation: | Department of Statistics, London School of Economics, Houghton Street, London, WC2A 2AE, United Kingdom |
| |
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 Incomplete markets Martingale measures Minimal entropy martingale measure |
本文献已被 ScienceDirect 等数据库收录! |