Information-based approach:Pricing of a credit risky asset in the presence of default time  

作　　者：Mohammed Louriki 

机构地区：[1]Mathematics Department,Faculty of Sciences Semalalia,Cadi Ayyad University,Boulevard Prince Moulay Abdellah,P.O.Bor 2390,Marrakesh 40000,Morocco

出　　处：《Probability, Uncertainty and Quantitative Risk》2024年第3期405-430,共26页概率、不确定性与定量风险（英文）

摘　　要：We extend the information-based asset-pricing framework by Brody,Hughston&Macrina to incorporate a stochastic bankruptcy time for the writer of the asset.Our model introduces a non-defaultable cash flow Zr to be made at time T,alongside the time T of a possible bankruptcy of the writer of the asset are in line with the filtration generated by a Brownian random bridge with length v=T^T and pinning point ZT,where is a constant.Quantities Z and T are not necessarily independent.The model does not depend crucially on the interpretation of as a bankruptcy time.We derived the price process of the asset and compute the prices of associated options.The dynamics of the price process satisfy a diffusion equation.Employing the approach of P.-A.Meyer,we provide the explicit computation of the compensator of v.Leveraging special properties of the bridge process,we also provide the explicit expression of the compensator of Zr I(v,+o).The resulting conclusion highlights the totally inaccessible property of the stopping time v.This characteristic is particularly suitable for financial markets where the time of default of a writer cannot be predictable from any other signal in the system until default happens.

关 键 词：Brownian random bridge SEMIMARTINGALE Local time Compensator process Information-based asset pricing Credit risk Default time Totally inaccessible stopping time 

分 类 号：O17[理学—数学]