Optimal martingale measures for defaultable assets (Q436296)

The question under consideration is which optimal martingale measure should one choose for a defaultable assets? The authors model a defaultable asset as a solution to a SDE driven by both a Brownian motion and the counting one-jump martingale. They noted that in this case in contrast to the exponential Lévy case the entropy measure is rather more difficult to compute than the linear Esscher measure.