Optimal martingale measures for defaultable assets
type: Item
instance of: scholarly article
title: Optimal martingale measures for defaultable assets
zbMATH Open document ID: 1258.91209
published in: Stochastic Processes and their Applications
publication date: 2012-07-20T00:00:00Z
review text: 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.
reviewed by: Anatoliy Swishchuk
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 6059066
zbMATH Keywords: defaultable assets
zbMATH Keywords: incomplete markets
zbMATH Keywords: martingale measures
zbMATH Keywords: minimal entropy martingale measure
MaRDI profile type: Publication
full work available at URL: j.spa.2012.04.004
OpenAlex ID: W2072998435
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DOI: 10.1016/J.SPA.2012.04.004
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author: Thorsten Rheinländer
description: scientific article; zbMATH DE number 6059066