Article ID Journal Published Year Pages File Type
1156785 Stochastic Processes and their Applications 2012 15 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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