Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156785 | Stochastic Processes and their Applications | 2012 | 15 Pages |
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)
Authors
Young Lee, Thorsten Rheinländer,