Optimal martingale measures for defaultable assets

DOI10.1016/J.SPA.2012.04.004zbMATH Open1258.91209OpenAlexW2072998435MaRDI QIDQ436296FDOQ436296

Young Lee, Thorsten Rheinländer

Publication date: 20 July 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.04.004

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zbMATH Keywords

incomplete marketsmartingale measuresdefaultable assetsminimal entropy martingale measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Cites Work

• The cumulant process and Esscher's change of measure
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Credit risk: Modelling, valuation and hedging
• On the minimal entropy martingale measure.
• Exponential Hedging and Entropic Penalties
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• No Arbitrage and General Semimartingales
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
• An entropy approach to the Stein and Stein model with correlation
• Title not available (Why is that?)
• Indifference pricing of defaultable claims
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models

Cited In (4)

• The Minimal Entropy Martingale Measure for Exponential Markov Chains
• Martingale densities for general asset prices
• Title not available (Why is that?)
• Title not available (Why is that?)

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