Information-based approach: pricing of a credit risky asset in the presence of default time

DOI10.3934/puqr.2024018MaRDI QIDQ6612339

Mohammed Louriki

Publication date: 30 September 2024

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

zbMATH Keywords

local timecredit risksemi-martingaledefault timeinformation-based asset pricingcompensator processtotally inaccessible stopping timeBrownian random bridge

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales and classical analysis (60G46) Local time and additive functionals (60J55)

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