Optimal martingale measures for defaultable assets
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.
scientific article; zbMATH DE number 6059066
scientific article