Optimal martingale measures for defaultable assets

DOI10.1016/j.spa.2012.04.004zbMath1258.91209OpenAlexW2072998435MaRDI QIDQ436296

J. Herrera, H. S. Yoon

Publication date: 20 July 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.04.004

zbMATH Keywords

incomplete marketsmartingale measuresminimal entropy martingale measuredefaultable assets

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The Minimal Entropy Martingale Measure for Exponential Markov Chains

Cites Work

• Unnamed Item
• Unnamed Item
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• The cumulant process and Esscher's change of measure
• On the minimal entropy martingale measure.
• On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
• An entropy approach to the Stein and Stein model with correlation
• No Arbitrage and General Semimartingales
• Exponential Hedging and Entropic Penalties
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Credit risk: Modelling, valuation and hedging

This page was built for publication: Optimal martingale measures for defaultable assets