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Pré-Publication, Document De Travail Année : 2021

First and second-to-default options in models with various information flows *

Résumé

We continue to study the credit risk model of a financial market introduced in [19] in which the dynamics of intensity rates of two default times are described by linear combinations of three independent geometric Brownian motions. The dynamics of two default-free risky asset prices are modeled by two geometric Brownian motions which are dependent of the ones describing the default intensity rates. We obtain closed form expressions for the no-arbitrage prices of some first-and second-to-default European style contingent claims given the reference filtration initially and progressively enlarged by the two successive default times. The accessible default-free reference filtration is generated by the standard Brownian motions driving the model.
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Dates et versions

hal-03119469 , version 1 (24-01-2021)

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  • HAL Id : hal-03119469 , version 1

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Pavel V Gapeev, Monique Jeanblanc. First and second-to-default options in models with various information flows *. 2021. ⟨hal-03119469⟩
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