Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1707901 | Applied Mathematics Letters | 2014 | 4 Pages |
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.
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
Marek Capiński, Tomasz Zastawniak,