Optimal martingale measures for defaultable assets (Q436296)

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Optimal martingale measures for defaultable assets
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    Optimal martingale measures for defaultable assets (English)
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    20 July 2012
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    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.
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    defaultable assets
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    incomplete markets
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    martingale measures
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    minimal entropy martingale measure
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