Optimal martingale measures for defaultable assets

DOI10.1016/j.spa.2012.04.004zbMath1258.91209MaRDI QIDQ436296

J. Herrera, H. S. Yoon

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

zbMATH Keywords

incomplete markets; martingale measures; minimal entropy martingale measure; defaultable assets

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G44: Martingales with continuous parameter

91G20: Derivative securities (option pricing, hedging, etc.)