论文标题
基于信息的方法：在存在违约时间的情况下，信用风险资产的定价
Information-Based Approach: Pricing of a Credit Risky Asset in the Presence of Default Time
论文作者
论文摘要
我们将Hughston \＆Macrina的基于信息的资产定价框架扩展到了资产作家的随机破产时间。 Our model introduces a non-defaultable cash flow $Z_T$ to be made at time $T$, alongside the time $τ$ of a possible bankruptcy of the writer of the asset are in line with the filtration generated by a Brownian random bridge with length $ν=τ\wedge T$ and pinning point $σZ_T$, where $σ$ is a constant.数量$ z_t $和$τ$不一定是独立的。该模型并不取决于对$τ$破产时间的解释。我们得出了资产的价格过程，并计算了相关期权的价格。价格过程的动态满足扩散方程。采用P.-A。〜Meyer的方法，我们提供了$ν$的补偿器的明确计算。利用桥梁进程的特殊属性，我们还提供了$ z_t \，\ mathbb {i} _ {[ν，+\ fyfty）} $的补偿器的显式表达式。最终的结论突出了停止时间$ν$的完全无法访问的属性。这种特征特别适合金融市场，在默认情况下，在系统中无法从系统中的任何其他信号中预测作者的时间。
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 $Z_T$ to be made at time $T$, alongside the time $τ$ of a possible bankruptcy of the writer of the asset are in line with the filtration generated by a Brownian random bridge with length $ν=τ\wedge T$ and pinning point $σZ_T$, where $σ$ is a constant. Quantities $Z_T$ and $τ$ are not necessarily independent. The model does not depend crucially on the interpretation of $τ$ 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 $ν$. Leveraging special properties of the bridge process, we also provide the explicit expression of the compensator of $Z_T\,\mathbb{I}_{[ν,+\infty)}$. The resulting conclusion highlights the totally inaccessible property of the stopping time $ν$. 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.
