A martingale representation theorem and valuation of defaultable securities (Q5855965)
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scientific article; zbMATH DE number 7326792
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A martingale representation theorem and valuation of defaultable securities |
scientific article; zbMATH DE number 7326792 |
Statements
A martingale representation theorem and valuation of defaultable securities (English)
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23 March 2021
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default/time of death/random horizon
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defaultable securities
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optional martingale representation
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progressively enlarged filtration
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risk decomposition
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valuation of securities
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0.7968267202377319
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0.7739683985710144
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0.761837363243103
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0.7504251003265381
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0.7488539814949036
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